Download or read book Symmetries in Jump diffusion Models with Applications in Option Pricing and Credit Risk written by J. K. Hoogland and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Symmetries in Jump diffusion Models with Applications in Option Pricing and Credit Risk written by Jiri Kamiel Hoogland and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Download or read book Risk written by and published by . This book was released on 2006 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 974 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Complete Markets written by Ricardo Yuki Saito and published by . This book was released on 2007 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Advances In Financial Engineering 2009 Proceedings Of The Kier tmu International Workshop On Financial Engineering 2009 written by Masaaki Kijima and published by World Scientific. This book was released on 2010-06-10 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering.
Download or read book Functionals of Multidimensional Diffusions with Applications to Finance written by Jan Baldeaux and published by Springer Science & Business Media. This book was released on 2013-08-13 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
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 Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Download or read book An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing written by Lei Zhang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2012 written by Josef Dick and published by Springer Science & Business Media. This book was released on 2013-12-05 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
Download or read book Discrete time Bond and Option Pricing for Jump diffusion Processes written by Sanjiv R. Das and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.
Download or read book Discrete time Bond and Option Pricing for Jump diffusion Processes written by Sanjiv R. Das and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.
Download or read book Hedging Derivatives written by Thorsten Rheinlander and published by World Scientific. This book was released on 2011 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."
