Swing Option Pricing By Dynamic Programming With B Spline Density Projection

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Swing Option Pricing by Dynamic Programming with B-spline Density Projection

Author : Justin Kirkby
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Swing Option Pricing by Dynamic Programming with B-spline Density Projection by : Justin Kirkby

Download or read book Swing Option Pricing by Dynamic Programming with B-spline Density Projection written by Justin Kirkby and published by . This book was released on 2020 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Swing options are a type of exotic financial derivative which generalize American options to allow for multiple early-exercise actions during the contract period. These contracts are widely traded in commodity and energy markets, but are often difficult to value using standard techniques due to their complexity and strong path-dependency. There are numerous interesting varieties of swing options, which differ in terms of their intermediate cash flows, and the constraints (both local and global) which they impose on early-exercise (swing) decisions. We introduce an efficient and general purpose transform-based method for pricing discrete and continuously monitored swing options under exponential L 'evy models, which applies to contracts with fixed rights clauses, as well as recovery time delays between exercise. The approach combines dynamic programming with an efficient method for calculating the continuation value between monitoring dates, and applies generally to multiple early-exercise contracts, providing a unified framework for pricing a large class of exotic derivatives. Efficiency and accuracy of the method is supported by a series of numerical experiments which further provide benchmark prices for future research.

Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection

Author : Justin Kirkby
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection by : Justin Kirkby

Download or read book Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection written by Justin Kirkby and published by . This book was released on 2016 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate general B-splines, including the cubic basis, and general payoff structures. We introduce a coefficient stabilization method which substantially improves convergence for higher order splines. This stabilization has subsequently provided robust implementations for exotic option extensions of the method. After demonstrating the greater robustness of a fixed-width truncation rule over generally accepted cumulant based approaches, we devise a novel Hilbert transform based approach for the selection of truncated density supports, applicable to any density approximation method, which facilitates greater control over realized pricing errors. Robustness of B-spline frame projection is demonstrated by an extensive set of experiments which guide the selection of splines of various orders and subsequent parameter decisions. Finally, we provide formulas for digital and forward starting options.

Pricing of Swing Options

Author : Kai-Siong Leow
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (859 download)

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Book Synopsis Pricing of Swing Options by : Kai-Siong Leow

Download or read book Pricing of Swing Options written by Kai-Siong Leow and published by . This book was released on 2013 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.

Energy Derivatives

Author : Les Clewlow
Publisher : Twayne Publishers
ISBN 13 : 9780953889600
Total Pages : 246 pages
Book Rating : 4.8/5 (896 download)

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Book Synopsis Energy Derivatives by : Les Clewlow

Download or read book Energy Derivatives written by Les Clewlow and published by Twayne Publishers. This book was released on 2000 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Reinforcement Learning and Dynamic Programming Using Function Approximators

Author : Lucian Busoniu
Publisher : CRC Press
ISBN 13 : 1439821097
Total Pages : 280 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Reinforcement Learning and Dynamic Programming Using Function Approximators by : Lucian Busoniu

Download or read book Reinforcement Learning and Dynamic Programming Using Function Approximators written by Lucian Busoniu and published by CRC Press. This book was released on 2017-07-28 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: From household appliances to applications in robotics, engineered systems involving complex dynamics can only be as effective as the algorithms that control them. While Dynamic Programming (DP) has provided researchers with a way to optimally solve decision and control problems involving complex dynamic systems, its practical value was limited by algorithms that lacked the capacity to scale up to realistic problems. However, in recent years, dramatic developments in Reinforcement Learning (RL), the model-free counterpart of DP, changed our understanding of what is possible. Those developments led to the creation of reliable methods that can be applied even when a mathematical model of the system is unavailable, allowing researchers to solve challenging control problems in engineering, as well as in a variety of other disciplines, including economics, medicine, and artificial intelligence. Reinforcement Learning and Dynamic Programming Using Function Approximators provides a comprehensive and unparalleled exploration of the field of RL and DP. With a focus on continuous-variable problems, this seminal text details essential developments that have substantially altered the field over the past decade. In its pages, pioneering experts provide a concise introduction to classical RL and DP, followed by an extensive presentation of the state-of-the-art and novel methods in RL and DP with approximation. Combining algorithm development with theoretical guarantees, they elaborate on their work with illustrative examples and insightful comparisons. Three individual chapters are dedicated to representative algorithms from each of the major classes of techniques: value iteration, policy iteration, and policy search. The features and performance of these algorithms are highlighted in extensive experimental studies on a range of control applications. The recent development of applications involving complex systems has led to a surge of interest in RL and DP methods and the subsequent need for a quality resource on the subject. For graduate students and others new to the field, this book offers a thorough introduction to both the basics and emerging methods. And for those researchers and practitioners working in the fields of optimal and adaptive control, machine learning, artificial intelligence, and operations research, this resource offers a combination of practical algorithms, theoretical analysis, and comprehensive examples that they will be able to adapt and apply to their own work. Access the authors' website at www.dcsc.tudelft.nl/rlbook/ for additional material, including computer code used in the studies and information concerning new developments.

Planning Algorithms

Author : Steven M. LaValle
Publisher : Cambridge University Press
ISBN 13 : 9780521862059
Total Pages : 844 pages
Book Rating : 4.8/5 (62 download)

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Book Synopsis Planning Algorithms by : Steven M. LaValle

Download or read book Planning Algorithms written by Steven M. LaValle and published by Cambridge University Press. This book was released on 2006-05-29 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: Planning algorithms are impacting technical disciplines and industries around the world, including robotics, computer-aided design, manufacturing, computer graphics, aerospace applications, drug design, and protein folding. Written for computer scientists and engineers with interests in artificial intelligence, robotics, or control theory, this is the only book on this topic that tightly integrates a vast body of literature from several fields into a coherent source for teaching and reference in a wide variety of applications. Difficult mathematical material is explained through hundreds of examples and illustrations.

Non-Gaussian Merton-Black-Scholes Theory

Author : Svetlana I. Boyarchenko
Publisher : World Scientific
ISBN 13 : 9810249446
Total Pages : 421 pages
Book Rating : 4.8/5 (12 download)

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Book Synopsis Non-Gaussian Merton-Black-Scholes Theory by : Svetlana I. Boyarchenko

Download or read book Non-Gaussian Merton-Black-Scholes Theory written by Svetlana I. Boyarchenko and published by World Scientific. This book was released on 2002 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lvy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.

Regression and Other Stories

Author : Andrew Gelman
Publisher : Cambridge University Press
ISBN 13 : 110702398X
Total Pages : 551 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Regression and Other Stories by : Andrew Gelman

Download or read book Regression and Other Stories written by Andrew Gelman and published by Cambridge University Press. This book was released on 2020-07-23 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical approach to using regression and computation to solve real-world problems of estimation, prediction, and causal inference.

Computational Studies of Human Motion

Author : David Forsyth
Publisher : Now Publishers Inc
ISBN 13 : 1933019301
Total Pages : 188 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis Computational Studies of Human Motion by : David Forsyth

Download or read book Computational Studies of Human Motion written by David Forsyth and published by Now Publishers Inc. This book was released on 2006 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational Studies of Human Motion: Part 1, Tracking and Motion Synthesis reviews methods for kinematic tracking of the human body in video. The review confines itself to the earlier stages of motion, focusing on tracking and motion synthesis. There is an extensive discussion of open issues. The authors identify some puzzling phenomena associated with the choice of human motion representation --- joint angles vs. joint positions. The review concludes with a quick guide to resources and an extensive bibliography of over 400 references. Computational Studies of Human Motion: Part 1, Tracking and Motion Synthesis is an invaluable reference for those engaged in computational geometry, computer graphics, image processing, imaging in general, and robotic.

Generalized Linear Models for Insurance Rating

Author : Mark Goldburd
Publisher :
ISBN 13 : 9780996889728
Total Pages : 106 pages
Book Rating : 4.8/5 (897 download)

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Book Synopsis Generalized Linear Models for Insurance Rating by : Mark Goldburd

Download or read book Generalized Linear Models for Insurance Rating written by Mark Goldburd and published by . This book was released on 2016-06-08 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essentials of Paleomagnetism

Author : Lisa Tauxe
Publisher : Univ of California Press
ISBN 13 : 0520260317
Total Pages : 505 pages
Book Rating : 4.5/5 (22 download)

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Book Synopsis Essentials of Paleomagnetism by : Lisa Tauxe

Download or read book Essentials of Paleomagnetism written by Lisa Tauxe and published by Univ of California Press. This book was released on 2010-03-19 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book by Lisa Tauxe and others is a marvelous tool for education and research in Paleomagnetism. Many students in the U.S. and around the world will welcome this publication, which was previously only available via the Internet. Professor Tauxe has performed a service for teaching and research that is utterly unique."—Neil D. Opdyke, University of Florida

Simulating Humans

Author : Norman I. Badler
Publisher : Oxford University Press, USA
ISBN 13 : 0195073592
Total Pages : 287 pages
Book Rating : 4.1/5 (95 download)

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Book Synopsis Simulating Humans by : Norman I. Badler

Download or read book Simulating Humans written by Norman I. Badler and published by Oxford University Press, USA. This book was released on 1993-09-02 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: The area of simulated human figures is an active research area in computer graphics, and Norman Badler's group at the University of Pennsylvania is one of the leaders in the field. This book summarizes the state of the art in simulating human figures, discusses many of the interesting application areas, and makes some assumptions and predictions about where the field is going.

Efficient Reinforcement Learning Using Gaussian Processes

Author : Marc Peter Deisenroth
Publisher : KIT Scientific Publishing
ISBN 13 : 3866445695
Total Pages : 226 pages
Book Rating : 4.8/5 (664 download)

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Book Synopsis Efficient Reinforcement Learning Using Gaussian Processes by : Marc Peter Deisenroth

Download or read book Efficient Reinforcement Learning Using Gaussian Processes written by Marc Peter Deisenroth and published by KIT Scientific Publishing. This book was released on 2010 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines Gaussian processes in both model-based reinforcement learning (RL) and inference in nonlinear dynamic systems.First, we introduce PILCO, a fully Bayesian approach for efficient RL in continuous-valued state and action spaces when no expert knowledge is available. PILCO takes model uncertainties consistently into account during long-term planning to reduce model bias. Second, we propose principled algorithms for robust filtering and smoothing in GP dynamic systems.

Cam Design Handbook

Author : Harold A. Rothbart
Publisher : McGraw-Hill Professional Publishing
ISBN 13 :
Total Pages : 632 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Cam Design Handbook by : Harold A. Rothbart

Download or read book Cam Design Handbook written by Harold A. Rothbart and published by McGraw-Hill Professional Publishing. This book was released on 2004 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with hundreds of detailed illustrations! THE DEFINITIVE GUIDE TO CAM TECHNOLOGY! The transformation of a simple motion, such as rotation, into linear or other motion is accomplished by means of a cam -- two moving elements mounted on a fixed frame. Cam devices are versatile -- almost any specified motion can be obtained. If you work with industrial applications where precision is essential, the "Cam Design Handbook" is a key resource you'll need handy at all times. You'll find thorough, detailed coverage of cams in industrial machinery, automotive optimization, and gadgets and inventions. Written with tremendous practical insight by engineering experts, the "Cam Design Handbook" gathers the information you need to understand cam manufacture and design. Comprehensive in scope and authoritative in nature, the book delivers a firm grasp of: * The advantages of cams compared to other motion devices * Computer-aided design and manufacturing techniques * Numerical controls for manufacturing * Cam size and profile determination * Dynamics of high-speed systems Get comprehensive coverage of: * Basic curves * Profile geometry * Stresses and accuracy * Camwear life predictions * Cam system dynamics * And more!

Safeguarding Food Security in Volatile Global Markets

Author : Adam Prakash
Publisher : Bright Sparks
ISBN 13 :
Total Pages : 620 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Safeguarding Food Security in Volatile Global Markets by : Adam Prakash

Download or read book Safeguarding Food Security in Volatile Global Markets written by Adam Prakash and published by Bright Sparks. This book was released on 2011 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely publication as world leaders deliberate the causes of the latest bouts of food price volatility and search for solutions that address the recent velocity of financial, economic, political, demographic, and climatic change. As a collection compiled from a diverse group of economists, analysts, traders, institutions and policy formulators - comprising multiple methodologies and viewpoints - the book exposes the impact of volatility on global food security, with particular focus on the world's most vulnerable.

Tempered Stable Distributions

Author : Michael Grabchak
Publisher : Springer
ISBN 13 : 3319249274
Total Pages : 127 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Tempered Stable Distributions by : Michael Grabchak

Download or read book Tempered Stable Distributions written by Michael Grabchak and published by Springer. This book was released on 2016-01-26 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions. A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.

Surrogates

Author : Robert B. Gramacy
Publisher : CRC Press
ISBN 13 : 1000766209
Total Pages : 560 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Surrogates by : Robert B. Gramacy

Download or read book Surrogates written by Robert B. Gramacy and published by CRC Press. This book was released on 2020-03-10 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer simulation experiments are essential to modern scientific discovery, whether that be in physics, chemistry, biology, epidemiology, ecology, engineering, etc. Surrogates are meta-models of computer simulations, used to solve mathematical models that are too intricate to be worked by hand. Gaussian process (GP) regression is a supremely flexible tool for the analysis of computer simulation experiments. This book presents an applied introduction to GP regression for modelling and optimization of computer simulation experiments. Features: • Emphasis on methods, applications, and reproducibility. • R code is integrated throughout for application of the methods. • Includes more than 200 full colour figures. • Includes many exercises to supplement understanding, with separate solutions available from the author. • Supported by a website with full code available to reproduce all methods and examples. The book is primarily designed as a textbook for postgraduate students studying GP regression from mathematics, statistics, computer science, and engineering. Given the breadth of examples, it could also be used by researchers from these fields, as well as from economics, life science, social science, etc.