Download or read book valuation d options barri re discr te avec volatilit stochastique microforme written by Dudley, Evan and published by Montréal : Service des archives, Université de Montréal, Section Microfilm. This book was released on 1999 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book valuation d options avec volatilit stochastique et processus de L vy microforme written by Roch, Alexandre and published by Montréal : Service des archives, Université de Montréal, Section Microfilm. This book was released on 2005 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book valuation d options barri re discr te avec volatilit stochastique written by Evan Dudley and published by . This book was released on 1999 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Valuation Under Stochastic Volatility II written by Alan L. Lewis and published by . This book was released on 2016-05-12 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That

Download or read book La volatilit stochastique et la valorisation des options written by Bogdan Cristian Negrea and published by . This book was released on 2005 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nous traitons les modèles d'évaluation d'options à volatilité stochastique en deux parties. Dans la première, deux variables d'état sont prises en considération -le prix du sous-jacent et sa volatilité- alors que, dans la seconde partie, une troisième variable d'état -le taux d'intérêt- est retenue. La première partie est consacrée à une présentation unifiée des travaux de Hull et White, de Stein et Stein, et de Heston dans l'évaluation des options à volatilité stochastique ce qui nous a permit d'établir quelques résultats originaux. En premier lieu, nous avons obtenu une formule plus simple et plus précise du prix de l'option à volatilité stochastique lorsque les variables d'état ne sont pas corrélées. En second lieu, nous avons démontré que la distribution des rendements terminaux de l'actif sous-jacent est alors asymétrique ce qui contredit la théorie défendue par Heston selon laquelle la volatilité stochastique n'entraîne qu'un aplatissement de la densité. Dans la deuxième partie, nous avons proposé une formule analytique du prix de l'option d'achat européenne à volatilité stochastique et à taux d'intérêt stochastique. La formule que nous proposons permet d'éviter de faire intervenir des variables caractérisant l'évolution du taux d'intérêt en ne retenant que le prix -observé- d'une obligation zéro coupon. La comparaison des performances empiriques d'évaluation des formules de prix des options du modèle de Black et Scholes et des modèles à volatilité stochastique révèle que le modèle à volatilité et à taux d'intérêt stochastiques conduit aux plus faibles erreurs d'évaluation des options. Le modèle à volatilité stochastique avec une corrélation non nulle entre les variables d'état surclasse les autres de point de vue des performances de couverture des options en temps continu et en temps discret. Lors d'une volatilité stochastique, le comportement des opérateurs sur le marché financier français est bien décrit par le modèle à trois variables d'état, s'agissant des bonnes anticipations des taux courts. Le modèle à deux variables d'état ne permet de prendre en compte que les anticipations de la volatilité future, mais elles sont bien plus précises que celles obtenue à partir du modèle à trois variables d'état.

Download or read book Les Mod les d valuation d options avec volatilit stochastique written by Jean-Jacques Legendre and published by . This book was released on 1993 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Les mod les d valuation des options avec volatilit stochastique written by Kamal Lahbib and published by . This book was released on 2000 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book valuation d options avec volatilit stochastique et processus de L vy written by Alexandre Roch and published by . This book was released on 2005 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book valuation d options de change avec volatilit stochastique written by Vincent Gesser and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Evaluation des options avec volatilit stochastique written by Alexandar Kirov and published by . This book was released on 2001 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Les mod les d valuation d options volatilit stochastique written by Sébastien Bietho and published by . This book was released on 1999 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book La volatilit stochastique dans les mod les d valuation d option written by Sabita Devi Raj and published by . This book was released on 2003 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Les aspects th oriques de l valuation d options avec volatilit stochastique written by Rodolphe Taieb and published by . This book was released on 2000 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book valuation d options volatilit stochastique written by Caroline Halfon and published by . This book was released on 2001 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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Download or read book Masters Theses in the Pure and Applied Sciences written by Wade H. Shafer and published by Springer. This book was released on 1976 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Masters Theses in the Pure and Applied Sciences was first conceived, published, and dis· seminated by the Center for Information and Numerical Data Analysis and Synthesis (CINDAS) *at Purdue University in 1957, starting its coverage of theses with the academic year 1955. Beginning with Volume 13, the printing and dissemination phases of the ac· tivity were transferred to University Microfilms/Xerox of Ann Arbor, Michigan, with the thought that such an arrangement would be more beneficial to the academic and general scientific and technical community. After five years of this joint undertaking we had concluded that it was in the interest of all concerned if the printing and distribution of the volume were handled by an international publishing house to assure improved service and broader dissemination. Hence, starting with Volume 18, Masters Theses in the Pure and Applied Sciences has been disseminated on a worldwide basis by Plenum Publishing Corporation of New York, and in the same year the coverage was broadened to include Canadian universities. All back issues can also be ordered from Plenum. We have reported in Volume 20 (thesis year 1975) a total of 10,374 theses titles from 28 Canadian and 239 United States universities. We are sure that this broader base for theses titles reported will greatly enhance the value of this important annual reference work. The organization of Volume 20 is identical to that of past years. It consists of theses titles arranged by discipline and by university within each discipline.

Download or read book Keeping Archives written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: