Download or read book Cross Market Arbitrage and Option Pricing with Long Memory in Volatility written by Hakan Er and published by . This book was released on 2002 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Volatility Pricing Advanced Trading Strategies and Techniques written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 1994-08 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.
Download or read book Inside Volatility Arbitrage written by Alireza Javaheri and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today?s traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility -- time series and financial econometrics -- in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.
Download or read book Long memory Stochastic Volatility Models written by Libo Xie and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options Arbitrage in Imperfect Markets written by Stephen Figlewski and published by . This book was released on 1987 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Beyond Arbitrage written by John Howland Cochrane and published by . This book was released on 1996 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate.
Download or read book Market Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
Download or read book Option Volatility Pricing written by Sheldon Natenberg and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Volatility and Pricing Workbook Second Edition written by Sheldon Natenberg and published by McGraw-Hill. This book was released on 2014-11-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Essential Companion to Option Volatility and Pricing Option Volatility and Pricing Workbook explains the key concepts essential to successful trading, teaching you how to use a wide variety of trading strategies and how to select the one that best fits your view of market conditions and individual risk tolerance. It reflects the most current developments and trends in option products and trading strategies, including new information on pricing models, intermarket spreading options, and volatility analysis. Provides step-by-step guides, exercises, fill-in-the blank charts, and other hands-on activities Sheldon Natenberg has been in charge of the education program at Chicago Trading Company, a proprietary derivatives trading firm, since 2000.
Download or read book Big Data Science in Finance written by Irene Aldridge and published by John Wiley & Sons. This book was released on 2021-01-08 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains the mathematics, theory, and methods of Big Data as applied to finance and investing Data science has fundamentally changed Wall Street—applied mathematics and software code are increasingly driving finance and investment-decision tools. Big Data Science in Finance examines the mathematics, theory, and practical use of the revolutionary techniques that are transforming the industry. Designed for mathematically-advanced students and discerning financial practitioners alike, this energizing book presents new, cutting-edge content based on world-class research taught in the leading Financial Mathematics and Engineering programs in the world. Marco Avellaneda, a leader in quantitative finance, and quantitative methodology author Irene Aldridge help readers harness the power of Big Data. Comprehensive in scope, this book offers in-depth instruction on how to separate signal from noise, how to deal with missing data values, and how to utilize Big Data techniques in decision-making. Key topics include data clustering, data storage optimization, Big Data dynamics, Monte Carlo methods and their applications in Big Data analysis, and more. This valuable book: Provides a complete account of Big Data that includes proofs, step-by-step applications, and code samples Explains the difference between Principal Component Analysis (PCA) and Singular Value Decomposition (SVD) Covers vital topics in the field in a clear, straightforward manner Compares, contrasts, and discusses Big Data and Small Data Includes Cornell University-tested educational materials such as lesson plans, end-of-chapter questions, and downloadable lecture slides Big Data Science in Finance: Mathematics and Applications is an important, up-to-date resource for students in economics, econometrics, finance, applied mathematics, industrial engineering, and business courses, and for investment managers, quantitative traders, risk and portfolio managers, and other financial practitioners.
Download or read book Robust Option Pricing written by Si Chen (S.M.) and published by . This book was released on 2009 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research aims to provide tractable approaches to price options using robust optimization. The pricing problem is reduced to a problem of identifying the replicating portfolio which minimizes the worst case arbitrage possible for a given uncertainty set on underlying asset returns. We construct corresponding uncertainty sets based on different levels of risk aversion of investors and make no assumption on specific probabilistic distributions of asset returns. The most significant benefits of our approach are (a) computational tractability illustrated by our ability to price multi-dimensional options and (b) modeling flexibility illustrated by our ability to model the "volatility smile". Specifically, we report extensive computational results that provide empirical evidence that the "implied volatility smile" that is observed in practice arises from different levels of risk aversion for different strikes. We are able to capture the phenomenon by appropriately finding the right risk-aversion as a function of the strike price. Besides European style options which have fixed exercising date, our method can also be adopted to price American style options which we can exercise early. We also show the applicability of this pricing method in the case of exotic and multi-dimensional options, in particular, we provide formulations to price Asian options, Lookback options and also Index options. These prices are compared with market prices, and we observe close matches when we use our formulations with appropriate uncertainty sets constructed based on market-implied risk aversion.
Download or read book Option Volatility and Pricing Strategies written by Sheldon Natenberg and published by . This book was released on 1994 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Pricing Interest Rates and Risk Management written by Elyès Jouini and published by Cambridge University Press. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
Download or read book Three Essays on Volatility Long Memory and European Option Valuation written by Yintian Wang and published by . This book was released on 2007 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models." --
Download or read book Discrete Time Series Processes and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 2006 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
