Download or read book Applications of Least squares Regressions to Pricing and Hedging of Financial Derivatives written by Andreas J. Grau and published by . This book was released on 2008 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applications of Least Squares Regressions to Pricing and Hedging of Financial Derivatives written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Option pricing with Monte Carlo (MC) simulation: This thesis presents three new ideas for the application Least-Squares regressions. The first idea separates the pricing process into two parts, where one is often known analytically and the other can be estimated by MC simulation. The combination has better convergence than a usual MC estimate. The second idea is the application of sparse grids to Least-Squares Monte Carlo (LSMC). This technique allows the solution of high-dimensional option pricing problems. Examples with Moving Window Asian options and soft-call constraints of convertible bonds demonstrate the efficiency of the approach. The third and main contribution of this thesis is the Simulation-Based Hedging method which connects realistic models for the underlying with suitable pricing and hedging in complete and incomplete markets. The resulting method converges an order of magnitude faster to the Black-Scholes prices than the comparable LSMC, while the algorithm computes the optimal hedging strategy and thus obtains realistic risk-adjusted prices and hedges.
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes
Download or read book Data Analysis and Related Applications 4 written by Yiannis Dimotikalis and published by John Wiley & Sons. This book was released on 2024-10-08 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Basics of Financial Econometrics written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2014-03-04 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Download or read book On the Robustness of Least Squares Monte Carlo LSM for Pricing American Derivatives written by Manuel Moreno and published by . This book was released on 2007 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the robustness of Least - Squares Monte Carlo, a technique proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least - squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of different basis functions on option prices. Numerical results for American put options show that this approach is quite robust to the choice of basis functions. For more complex derivatives, this choice can slightly affect option prices.
Download or read book A Workout in Computational Finance written by Andreas Binder and published by John Wiley & Sons. This book was released on 2013-08-13 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and calibration of specific financial instruments and models. It features a strong emphasis on robust schemes for the numerical treatment of problems within computational finance. Methods covered include PDE/PIDE using finite differences or finite elements, fast and stable solvers for sparse grid systems, stabilization and regularization techniques for inverse problems resulting from the calibration of financial models to market data, Monte Carlo and Quasi Monte Carlo techniques for simulating high dimensional systems, and local and global optimization tools to solve the minimization problem.
Download or read book Financial Econometrics Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 655 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Download or read book Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2011 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo. It was for an exchange of new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers - all refereed - representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.
Download or read book Derivatives Pricing and Modeling written by Jonathan Batten and published by Emerald Group Publishing. This book was released on 2012-07-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Download or read book Risk neutral Valuation written by N. H. Bingham and published by Springer Verlag. This book was released on 1998 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Download or read book Pricing and Hedging Financial Derivatives with Reinforcement Learning Methods written by Alexandre Carbonneau and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies the problem of pricing and hedging financial derivatives with reinforcement learning. Throughout all four papers, the underlying global hedging problems are solved using the deep hedging algorithm with the representation of global hedging policies as neural networks. The first paper, "Equal Risk Pricing of Derivatives with Deep Hedging'', shows how the deep hedging algorithm can be applied to solve the two underlying global hedging problems of the equal risk pricing framework for the valuation of European financial derivatives. The second paper, "Deep Hedging of Long-Term Financial Derivatives'', studies the problem of global hedging very long-term financial derivatives which are analogous, under some assumptions, to options embedded in guarantees of variable annuities. The third paper, "Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments'', studies derivative prices generated by the equal risk pricing framework for long-term options when shorter-term options are used as hedging instruments. The fourth paper, "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures'', investigates the use of non-translation invariant risk measures within the equal risk pricing framework.
Download or read book Derivatives Analytics with Python written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2015-06-15 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supercharge options analytics and hedging using the power ofPython Derivatives Analytics with Python shows you how toimplement market-consistent valuation and hedging approaches usingadvanced financial models, efficient numerical techniques, and thepowerful capabilities of the Python programming language. Thisunique guide offers detailed explanations of all theory, methods,and processes, giving you the background and tools necessary tovalue stock index options from a sound foundation. You'll find anduse self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as youbenefit from the 5,000+ lines of code that are provided to help youreproduce the results and graphics presented. Coverage includesmarket data analysis, risk-neutral valuation, Monte Carlosimulation, model calibration, valuation, and dynamic hedging, withmodels that exhibit stochastic volatility, jump components,stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution andautomation. Python is gaining ground in the derivatives analytics space,allowing institutions to quickly and efficiently deliver portfolio,trading, and risk management results. This book is the financeprofessional's guide to exploiting Python's capabilities forefficient and performing derivatives analytics. Reproduce major stylized facts of equity and options marketsyourself Apply Fourier transform techniques and advanced Monte Carlopricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamicallyhedge options Recent developments in the Python ecosystem enable analysts toimplement analytics tasks as performing as with C or C++, but usingonly about one-tenth of the code or even less. DerivativesAnalytics with Python — Data Analysis, Models, Simulation,Calibration and Hedging shows you what you need to know tosupercharge your derivatives and risk analytics efforts.
Download or read book Quantitative Energy Finance written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2013-08-28 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
