A First Course In Options Pricing Theory
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A First Course In Options Pricing Theory
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Author : Simone Calogero
language : en
Publisher: SIAM
Release Date : 2023-06-01
A First Course In Options Pricing Theory written by Simone Calogero and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-01 with Mathematics categories.
Among the many branches of applied mathematics, options pricing theory occupies a unique position: it utilizes a wide range of advanced mathematical concepts, making it appealing to mathematicians, and it is regularly applied at financial institutions, making it indispensable to practitioners. The emergence of artificial intelligence in the financial industry has led to further interest in mathematical finance and has increased the demand for literature on this subject that is accessible to a large audience. This book presents a self-contained introduction to options pricing theory and includes a complete discussion of the required concepts in finance and probability theory; an introduction to basic models, emphasizing both critical thinking and practical applications; and over 200 exercises, several Python codes for the analysis and application of the options pricing models, and numerical projects intended to help close the gap between theory and practice. A First Course in Options Pricing Theory is suitable for an advanced undergraduate course on financial mathematics and options pricing theory in engineering, computer science, and applied mathematics programs. The reader is assumed to be familiar with the standard material in calculus and linear algebra. Stochastic calculus is not used in the book.
A First Course In Quantitative Finance
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Author : Thomas Mazzoni
language : en
Publisher: Cambridge University Press
Release Date : 2018-03-29
A First Course In Quantitative Finance written by Thomas Mazzoni 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 2018-03-29 with Business & Economics categories.
Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.
A First Course In Stochastic Calculus
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Author : Louis-Pierre Arguin
language : en
Publisher: American Mathematical Society
Release Date : 2021-11-22
A First Course In Stochastic Calculus written by Louis-Pierre Arguin and has been published by American Mathematical Society this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-22 with Mathematics categories.
A First Course in Stochastic Calculus is a complete guide for advanced undergraduate students to take the next step in exploring probability theory and for master's students in mathematical finance who would like to build an intuitive and theoretical understanding of stochastic processes. This book is also an essential tool for finance professionals who wish to sharpen their knowledge and intuition about stochastic calculus. Louis-Pierre Arguin offers an exceptionally clear introduction to Brownian motion and to random processes governed by the principles of stochastic calculus. The beauty and power of the subject are made accessible to readers with a basic knowledge of probability, linear algebra, and multivariable calculus. This is achieved by emphasizing numerical experiments using elementary Python coding to build intuition and adhering to a rigorous geometric point of view on the space of random variables. This unique approach is used to elucidate the properties of Gaussian processes, martingales, and diffusions. One of the book's highlights is a detailed and self-contained account of stochastic calculus applications to option pricing in finance. Louis-Pierre Arguin's masterly introduction to stochastic calculus seduces the reader with its quietly conversational style; even rigorous proofs seem natural and easy. Full of insights and intuition, reinforced with many examples, numerical projects, and exercises, this book by a prize-winning mathematician and great teacher fully lives up to the author's reputation. I give it my strongest possible recommendation. —Jim Gatheral, Baruch College I happen to be of a different persuasion, about how stochastic processes should be taught to undergraduate and MA students. But I have long been thinking to go against my own grain at some point and try to teach the subject at this level—together with its applications to finance—in one semester. Louis-Pierre Arguin's excellent and artfully designed text will give me the ideal vehicle to do so. —Ioannis Karatzas, Columbia University, New York
Introduction To Option Pricing Theory
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Author : Gopinath Kallianpur
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Introduction To Option Pricing Theory written by Gopinath Kallianpur and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.
Research In Finance
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Author : John W. Kensinger
language : en
Publisher: Emerald Group Publishing
Release Date : 2011-04-26
Research In Finance written by John W. Kensinger and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-26 with Business & Economics categories.
Deals with the theme of Recovering from Financial Crisis. This book offers insight into: the surge in going-private transactions; hedge fund failures; the controversial aspects of private equity arrangements; why commodity producers (such as oil companies) choose not to hedge; and, trends in IPO activity.
Foreign Exchange Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-20
Foreign Exchange 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 2011-10-20 with Business & Economics categories.
This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Currency Overlay
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Author : Neil Record
language : en
Publisher: John Wiley & Sons
Release Date : 2004-02-06
Currency Overlay written by Neil Record 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 2004-02-06 with Business & Economics categories.
Currency overlay is the management of the currency exposure inherent in cross-border institutional investments. Exposure to foreign currencies increases the volatility of their returns, without increasing the returns themselves and academics and consultants recommended that the currency exposure should be stripped out of international portfolios and eliminated as far as practicable. This book provides a comprehensive description of currency overlay, its history and possible future developments and growth, the reason for its emergence, the debates and controversies, the different styles of currency management, and the industry's performance track record. This is a subject of international appeal and is an area of particular growth potential for institutional investors. Coverage includes: The theoretical case for eliminating currency risk in international portfolios The interplay between asset returns and currency returns, and the effect of this on hedging decisions Benchmarks - their construction and strategic role Least-cost passive overlay The structure of the currency market, and its 'inefficiencies' Active overlay styles Active overlay both restricted and unrestricted (currency alpha) Uses diagrams, charts, tables and explanatory boxes to explain concepts
Official Gazette
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Author : Philippines
language : en
Publisher:
Release Date : 2007
Official Gazette written by Philippines and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Law categories.
Continuous Time Asset Pricing Theory
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Author : Robert A. Jarrow
language : en
Publisher: Springer Nature
Release Date : 2021-07-30
Continuous Time Asset Pricing Theory written by Robert A. Jarrow and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-30 with Business & Economics categories.
Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
Handbooks In Operations Research And Management Science Financial Engineering
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Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16
Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.
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.