A Factor Model Approach To Derivative Pricing
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A Factor Model Approach To Derivative Pricing
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Author : James A. Primbs
language : en
Publisher: CRC Press
Release Date : 2016-12-19
A Factor Model Approach To Derivative Pricing written by James A. Primbs and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-19 with Business & Economics categories.
Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme.
A Factor Model Approach To Derivative Pricing
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Author : James A. Primbs
language : en
Publisher: CRC Press
Release Date : 2016-12-19
A Factor Model Approach To Derivative Pricing written by James A. Primbs and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-19 with Business & Economics categories.
Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Key features A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme. James A Primbs is an Associate Professor of Finance at the Mihaylo College of Business and Economics at California State University, Fullerton.
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Ii
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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 2001-01-10
Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Ii written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-10 with Business & Economics categories.
This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Theory Of Financial Risk And Derivative Pricing
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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2003-12-11
Theory Of Financial Risk And Derivative Pricing written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-11 with Business & Economics categories.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Empirical Derivative Pricing With Lme Industrial Metal Data
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Author : Christian Stepanek
language : en
Publisher: Cuvillier Verlag
Release Date : 2015-08-27
Empirical Derivative Pricing With Lme Industrial Metal Data written by Christian Stepanek and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-27 with Business & Economics categories.
This thesis is focused on empirical examinations of commodity derivatives. Commodity futures and options are very important for companies in hedging their commodity price risks. Financial institutions participate also in commodity derivative markets either to gain exposure to commodity prices, diversify their portfolios, or hedge commodity price risk from financial transactions. But also retail investors have been more and more interested in commodity investments for some years. Because of their limited access to commodity markets, they have to rely on special commodity SFPs issued by banks. However, in contrast to derivatives with standard underlyings, such as stocks or bonds, there are various specific aspects to commodity derivatives. Especially interesting from academic as well as practitioners’ point of view are the pricing relations between spot and derivative prices, which are closely linked to market fundamentals. But also from the financialization of commodity markets arise several subjects which require scientific examination. I identify in this thesis several unresolved research questions on commodity futures, options, and SFPs. This way it is possible to offer insights in derivative markets for industrial companies, financial institutions, and retail investors alike.
A Time Series Approach To Option Pricing
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Author : Christophe Chorro
language : en
Publisher: Springer
Release Date : 2014-12-04
A Time Series Approach To Option Pricing written by Christophe Chorro and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-04 with Business & Economics categories.
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.
Handbook Of Investment Analysis Portfolio Management And Financial Derivatives In 4 Volumes
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2024-04-08
Handbook Of Investment Analysis Portfolio Management And Financial Derivatives In 4 Volumes written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-08 with Business & Economics categories.
This four-volume handbook covers important topics in the fields of investment analysis, portfolio management, and financial derivatives. Investment analysis papers cover technical analysis, fundamental analysis, contrarian analysis, and dynamic asset allocation. Portfolio analysis papers include optimization, minimization, and other methods which will be used to obtain the optimal weights of portfolio and their applications. Mutual fund and hedge fund papers are also included as one of the applications of portfolio analysis in this handbook.The topic of financial derivatives, which includes futures, options, swaps, and risk management, is very important for both academicians and partitioners. Papers of financial derivatives in this handbook include (i) valuation of future contracts and hedge ratio determination, (ii) options valuation, hedging, and their application in investment analysis and portfolio management, and (iii) theories and applications of risk management.Led by worldwide known Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues of investment analysis, portfolio management, and financial derivatives based on his years of academic and industry experience.
Strategy Value And Risk The Real Options Approach
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Author : J. Rogers
language : en
Publisher: Springer
Release Date : 2002-06-25
Strategy Value And Risk The Real Options Approach written by J. Rogers and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-06-25 with Business & Economics categories.
In the 1990s shareholder value was applied to all aspects of corporate strategy and management decisions as a result of intense competition, globalization, advances in technology, deregulation and the financial markets. As we enter the twentyfirst century the business environment is one of increasing creative destruction, where competitive advantage is much harder to sustain. Real Options , a type of advanced financial analysis, applies financial option theory to real assets and offers a strategic framework that recognizes the need for management flexibility and to leverage risk in this corporate environment.
Gpu Computing Gems Jade Edition
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Author :
language : en
Publisher: Elsevier
Release Date : 2011-11-02
Gpu Computing Gems Jade Edition written by and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-02 with Computers categories.
GPU Computing Gems, Jade Edition, offers hands-on, proven techniques for general purpose GPU programming based on the successful application experiences of leading researchers and developers. One of few resources available that distills the best practices of the community of CUDA programmers, this second edition contains 100% new material of interest across industry, including finance, medicine, imaging, engineering, gaming, environmental science, and green computing. It covers new tools and frameworks for productive GPU computing application development and provides immediate benefit to researchers developing improved programming environments for GPUs. Divided into five sections, this book explains how GPU execution is achieved with algorithm implementation techniques and approaches to data structure layout. More specifically, it considers three general requirements: high level of parallelism, coherent memory access by threads within warps, and coherent control flow within warps. Chapters explore topics such as accelerating database searches; how to leverage the Fermi GPU architecture to further accelerate prefix operations; and GPU implementation of hash tables. There are also discussions on the state of GPU computing in interactive physics and artificial intelligence; programming tools and techniques for GPU computing; and the edge and node parallelism approach for computing graph centrality metrics. In addition, the book proposes an alternative approach that balances computation regardless of node degree variance. Software engineers, programmers, hardware engineers, and advanced students will find this book extremely usefull. For useful source codes discussed throughout the book, the editors invite readers to the following website: ..." - This second volume of GPU Computing Gems offers 100% new material of interest across industry, including finance, medicine, imaging, engineering, gaming, environmental science, green computing, and more - Covers new tools and frameworks for productive GPU computing application development and offers immediate benefit to researchers developing improved programming environments for GPUs - Even more hands-on, proven techniques demonstrating how general purpose GPU computing is changing scientific research - Distills the best practices of the community of CUDA programmers; each chapter provides insights and ideas as well as 'hands on' skills applicable to a variety of fields
Commodity Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-05
Commodity Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-05 with Business & Economics categories.
Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.