Download or read book valuation d une option d achat europ enne sur devises sous des taux d int r t stochastiques mod lis s selon un mod le trois facteurs written by Nizar Loukil and published by . This book was released on 2000 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book valuation d une option d achat europ enne sur devises sous des taux d int r t stochastiques mod lis s selon un mod le trois facteurs microforme written by Loukil, Nizar and published by Montréal : Service des archives, Université de Montréal, Section Microfilm. This book was released on 2000 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 D veloppement d un mod le d valuation des options sur devises en pr sence de taux d int r t stochastiques written by Monia Mazigh and published by . This book was released on 1994 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book D veloppement d un mod le d valuation des options sur devises en pr sence de taux d int r t stochastiques microforme written by Mazigh, Monia and published by Montréal : Service des archives, Université de Montréal, Section Microfilm. This book was released on 1994 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book EVALUATION D OPTIONS DE CHANGE AVEC VOLATILITE STOCHASTIQUE written by Vincent Gesser and published by . This book was released on 1999 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: CETTE THESE ETUDIE LA VALORISATION D'OPTIONS DE CHANGE EUROPEENNES ET DEPENDANTES DU CHEMIN SUIVI DANS UN CADRE DE VOLATILITE STOCHASTIQUE. LE RECOURS A UNE VOLATILITE ALEATOIRE EST JUSTIFIE PAR DES ETUDES ECONOMETRIQUES DANS LE PREMIER CHAPITRE. LE SECOND CHAPITRE MET EN PERSPECTIVE DIFFERENTS MODELES D'EVALUATION D'OPTIONS EUROPEENNES AVEC UNE VOLATILITE STOCHASTIQUE ET MONTRE A L'AIDE D'UNE ETUDE EMPIRIQUE SUR LE MARCHE DES OPTIONS SUR DOLLAR-MARK QUE LE MODELE DE HESTON (1993) EST LE PLUS APTE A REPRODUIRE LA SURFACE DE VOLATILITE OBSERVEE. UNE PROCEDURE DE CALIBRAGE PERMET D'ESTIMER LES VALEURS DES PARAMETRES DU PROCESSUS DE DIFFUSION DE LA VOLATILITE. LA SECONDE PARTIE DE CETTE THESE EST CONSACREE AUX OPTIONS EXOTIQUES ET A LEUR VALORISATION EN PRENANT EN COMPTE LE CONTENU INFORMATIONNEL DE LA SURFACE DE VOLATILITE. LA MISE EN PERSPECTIVE DE DIFFERENTES METHODES D'EXTRACTION DES FONCTIONS DE DENSITE IMPLICITE DES PRIX DES OPTIONS FONT L'OBJET DU TROISIEME CHAPITRE. LE QUATRIEME CHAPITRE ETUDIE DIFFERENTS MODELES D'ARBRES IMPLICITES. ILS VISENT A EVALUER DES OPTIONS EXOTIQUES A PARTIR D'UN ARBRE DEFORME DE MANIERE A VALORISER A LEUR PRIX DE MARCHE UN CONTINUUM D'OPTIONS EUROPEENNES. L'ETUDE DE CES MODELES ET LA MISE EN OEUVRE DE CELUI DE DERMAN ET KANI (1994) PERMET DE MONTRER QUE CES TECHNIQUES PRESENTENT PARFOIS DES OPPORTUNITES D'ARBITRAGE ET SUPPOSENT QUE LA VOLATILITE EST UNE FONCTION DETERMINISTE DU PRIX DU SOUS-JACENT ET DU TEMPS, CE QUI N'EST PAS VERIFIE DE MANIERE EMPIRIQUE. POUR PALLIER CES PROBLEMES LE CINQUIEME CHAPITRE UTILISE LE CADRE DE VOLATILITE STOCHASTIQUE ET UNE TECHNIQUE DE DIFFERENCES FINIES POUR EVALUER DES OPTIONS AMERICAINES ET EXOTIQUES. LES ECARTS DE PRIMES PAR RAPPORT AU MODELE BLACK ET SCHOLES SONT EXPLIQUES. LA CONVERGENCE DES PRIX DU MODELE A VOLATILITE STOCHASTIQUE AVEC CEUX D'UNE REPLICATION STATIQUE EST MISE EN EVIDENCE SOUS CERTAINES HYPOTHESES. CES RESULTATS SUGGERENT UNE STRATEGIE DE COUVERTURE DES OPTIONS A BARRIERES.
Download or read book The Econometrics of Individual Risk written by Christian Gourieroux and published by Princeton University Press. This book was released on 2015-07-28 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.
Download or read book Creating Futures written by Michel Godet and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Vulnerability to Drug Abuse written by Meyer Glantz and published by Amer Psychological Assn. This book was released on 1992 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text offers insights into the complex and disturbing questions of drug abuse by examining the range of factors that affect vulnerability, focusing specifically on factors and patterns associated with the transition from drug use to drug abuse.
Download or read book The Green Book written by Great Britain. Treasury and published by Stationery Office. This book was released on 2003 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition incorporates revised guidance from H.M Treasury which is designed to promote efficient policy development and resource allocation across government through the use of a thorough, long-term and analytically robust approach to the appraisal and evaluation of public service projects before significant funds are committed. It is the first edition to have been aided by a consultation process in order to ensure the guidance is clearer and more closely tailored to suit the needs of users.
Download or read book Handbook of Nonlinear Partial Differential Equations written by Andrei D. Polyanin and published by CRC Press. This book was released on 2004-06-02 with total page 835 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Nonlinear Partial Differential Equations is the latest in a series of acclaimed handbooks by these authors and presents exact solutions of more than 1600 nonlinear equations encountered in science and engineering--many more than any other book available. The equations include those of parabolic, hyperbolic, elliptic and other types, and the authors pay special attention to equations of general form that involve arbitrary functions. A supplement at the end of the book discusses the classical and new methods for constructing exact solutions to nonlinear equations. To accommodate different mathematical backgrounds, the authors avoid wherever possible the use of special terminology, outline some of the methods in a schematic, simplified manner, and arrange the equations in increasing order of complexity. Highlights of the Handbook:
Download or read book Introduction to Nonsmooth Optimization written by Adil Bagirov and published by Springer. This book was released on 2014-08-12 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first easy-to-read text on nonsmooth optimization (NSO, not necessarily differentiable optimization). Solving these kinds of problems plays a critical role in many industrial applications and real-world modeling systems, for example in the context of image denoising, optimal control, neural network training, data mining, economics and computational chemistry and physics. The book covers both the theory and the numerical methods used in NSO and provide an overview of different problems arising in the field. It is organized into three parts: 1. convex and nonconvex analysis and the theory of NSO; 2. test problems and practical applications; 3. a guide to NSO software. The book is ideal for anyone teaching or attending NSO courses. As an accessible introduction to the field, it is also well suited as an independent learning guide for practitioners already familiar with the basics of optimization.
Download or read book Mathematics of the Decision Sciences written by George Bernard Dantzig and published by American Mathematical Soc.. This book was released on 1968-12-31 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonsmooth Optimization written by Claude Lemarechal and published by Elsevier. This book was released on 2014-05-19 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonsmooth Optimization contains the proceedings of a workshop on non-smooth optimization (NSO) held from March 28 to April 8,1977 in Austria under the auspices of the International Institute for Applied Systems Analysis. The papers explore the techniques and theory of NSO and cover topics ranging from systems of inequalities to smooth approximation of non-smooth functions, as well as quadratic programming and line searches. Comprised of nine chapters, this volume begins with a survey of Soviet research on subgradient optimization carried out since 1962, followed by a discussion on rates of convergence in subgradient optimization. The reader is then introduced to the method of subgradient optimization in an abstract setting and the minimal hypotheses required to ensure convergence; NSO and nonlinear programming; and bundle methods in NSO. A feasible descent algorithm for linearly constrained least squares problems is described. The book also considers sufficient minimization of piecewise-linear univariate functions before concluding with a description of the method of parametric decomposition in mathematical programming. This monograph will be of interest to mathematicians and mathematics students.
Download or read book Fixed Point Theorems with Applications to Economics and Game Theory written by Kim C. Border and published by Cambridge University Press. This book was released on 1985 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores fixed point theorems and its uses in economics, co-operative and noncooperative games.
Download or read book Resilience and Development written by Meyer D. Glantz and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading experts review the research on resilience and represent the diverse perspectives and opinions found among both scientists and practitioners in the field. Although the chapters are written to the standards expected by researchers, they are equally useful for program developers and others in applied fields seeking science-based information on the topic. This book is a unique resource in keeping with the growing interest in resilience both in research and interventions.
Download or read book Epidemiologic Trends in Drug Abuse December 2001 Proceedings of the Community Epidemiology Work Group written by and published by . This book was released on 2002 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
