A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates
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A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates
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Author : Kaushik I. Amin
language : en
Publisher:
Release Date : 1990
A Simplified Discrete Time Approach For The Pricing Of Derivative Securities With Stochastic Interest Rates written by Kaushik I. Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Futures categories.
Pricing Derivative Securities
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Author : T. W. Epps
language : en
Publisher: World Scientific
Release Date : 2007
Pricing Derivative Securities written by T. W. Epps and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Risk Neutral Valuation
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Author : Nicholas H. Bingham
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Risk Neutral Valuation written by Nicholas H. Bingham 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 2013-06-29 with Mathematics categories.
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Pricing Derivative Securities Second Edition
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Author : Thomas W. Epps
language : en
Publisher:
Release Date : 2009
Pricing Derivative Securities Second Edition written by Thomas W. Epps and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C, and VBA program components.
Asset Pricing
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Author : T. Kariya
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-27
Asset Pricing written by T. Kariya 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 2011-06-27 with Business & Economics categories.
1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac cepted principle that financial asset prices are instantly adjusted at each mo ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.
Martingale Methods In Financial Modelling
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Author : Marek Musiela
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-20
Martingale Methods In Financial Modelling written by Marek Musiela 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 2006-01-20 with Mathematics categories.
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
Pricing Derivatives
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Author : Ambar Sengupta
language : en
Publisher:
Release Date : 2005
Pricing Derivatives written by Ambar Sengupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
Nonparametric Pricing Of Interest Rate Derivative Securities
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Author : Yacine Aït-Sahalia
language : en
Publisher:
Release Date : 1995
Nonparametric Pricing Of Interest Rate Derivative Securities written by Yacine Aït-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Derivative securities categories.
We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options.
The Valuation Of Interest Rate Derivative Securities
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Author : Jeroen F. J. De Munnik
language : en
Publisher: Routledge
Release Date : 2005-10-18
The Valuation Of Interest Rate Derivative Securities written by Jeroen F. J. De Munnik and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-18 with Business & Economics categories.
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
Nonparametric Pricing Of Interest Rate Derivative Securities
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Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2010
Nonparametric Pricing Of Interest Rate Derivative Securities written by Yacine Ait-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility function unrestricted and estimate it nonparametrically. Only discrete data are used but the estimation procedure still does not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility functions are forced to match the densities of the process. We estimate the stochastic differential equation followed by the short term interest rate and compute nonparametric prices for bonds and bond options.