Download or read book Robust Hedging of the Lookback Option written by David G. Hobson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this article is to find bounds on the prices of exotic derivatives, and in particular the lookback option, in terms of the (market) prices of call options. This is achieved without making explicit assumptions about the dynamics of the price process of the underlying asset, but rather by inferring information about the potential distribution of asset prices from the call prices. Thus the bounds we obtain and the associated hedging strategies are model independent. The appeal and significance of the hedging strategies arises from their universality and robustness to model mis-specification.
Download or read book Robust Hedging of FX Barrier Options written by Michael Haas and published by . This book was released on 2001 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Greeks and Hedging Explained written by Peter Leoni and published by Springer. This book was released on 2014-05-29 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.
Download or read book Robust Hedging of American Options with Non convex Payoffs written by Henrik Wanntorp and published by . This book was released on 2007 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
Download or read book Alternative Investments and Strategies written by Rüdiger Kiesel and published by World Scientific. This book was released on 2010 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include : credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Download or read book Options written by Stewart Hodges and published by Manchester University Press. This book was released on 1992 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance at Fields written by Matheus R. Grasselli and published by World Scientific. This book was released on 2013 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.
Download or read book Paris Princeton Lectures on Mathematical Finance 2010 written by Areski Cousin and published by Springer Science & Business Media. This book was released on 2011-06-29 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Download or read book Model free Hedging written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2017-05-25 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.
Download or read book Statistical Data Analysis Based on the L1 Norm and Related Methods written by Yadolah Dodge and published by Birkhäuser. This book was released on 2012-12-06 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of invited papers, presented to the fourth International Conference on Statistical Data Analysis Based on the L1-Norm and Related Methods, held in Neuchâtel, Switzerland, from August 4–9, 2002. The contributions represent clear evidence to the importance of the development of theory, methods and applications related to the statistical data analysis based on the L1-norm.
Download or read book The Handbook of Post Crisis Financial Modelling written by Emmanuel Haven and published by Springer. This book was released on 2016-04-29 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can accommodate those extreme events. This unique Handbook brings together leading practitioners and academics in the areas of banking, mathematics, and law to present original research on the key issues affecting financial modelling since the 2008 financial crisis. As well as exploring themes of distributional assumptions and efficiency the Handbook also explores how financial modelling can possibly be re-interpreted in light of the 2008 crisis.
Download or read book Nonparametric Finance written by Jussi Klemelä and published by John Wiley & Sons. This book was released on 2018-03-13 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Machine Learning in Finance, With Mathematical Background, Data Visualization, and R Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical data analysis into a single volume, this book presents detailed instruction in discrete chapters that allow readers to dip in as needed without reading from beginning to end. Coverage includes statistical finance, risk management, portfolio management, and securities pricing to provide a practical knowledge base, and the introductory chapter introduces basic finance concepts for readers with a strictly mathematical background. Economic significance is emphasized over statistical significance throughout, and R code is provided to help readers reproduce the research, computations, and figures being discussed. Strong graphical content clarifies the methods and demonstrates essential visualization techniques, while deep mathematical and statistical insight backs up practical applications. Written for the leading edge of finance, Nonparametric Finance: • Introduces basic statistical finance concepts, including univariate and multivariate data analysis, time series analysis, and prediction • Provides risk management guidance through volatility prediction, quantiles, and value-at-risk • Examines portfolio theory, performance measurement, Markowitz portfolios, dynamic portfolio selection, and more • Discusses fundamental theorems of asset pricing, Black-Scholes pricing and hedging, quadratic pricing and hedging, option portfolios, interest rate derivatives, and other asset pricing principles • Provides supplementary R code and numerous graphics to reinforce complex content Nonparametric function estimation has received little attention in the context of risk management and option pricing, despite its useful applications and benefits. This book provides the essential background and practical knowledge needed to take full advantage of these little-used methods, and turn them into real-world advantage. Jussi Klemelä, PhD, is Adjunct Professor at the University of Oulu. His research interests include nonparametric function estimation, density estimation, and data visualization. He is the author of Smoothing of Multivariate Data: Density Estimation and Visualization and Multivariate Nonparametric Regression and Visualization: With R and Applications to Finance.
Download or read book Lookback Options with Discrete and Partial Monitoring of the Underlying Price written by Harry M. Kat and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The specifications of the lookback options traded in today's OTC markets do not match the specifications of the contracts studied by academics. In practice, monitoring of the reference index may be done discretely and at the same time be limited to a specific subperiod. In this article we show that in the world of Black and Scholes (1973) discrete lookback options can be priced in closed-form. We derive pricing formulas for a variety of full and partial lookback options where monitoring takes place at non-necessarily equally spaced points in time. Analysis shows that monitoring the reference index discretely instead of continuously may have a very significant effect on the prices of lookback options, but does not introduce new hedging problems.
Download or read book Peter Carr Gedenkschrift Research Advances In Mathematical Finance written by Robert A Jarrow and published by World Scientific. This book was released on 2023-11-10 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-21 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. - Presents a broad survey of current research - Contributors are leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-03-30 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
