Analysis Geometry And Modeling In Finance
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Analysis Geometry And Modeling In Finance
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Author : Pierre Henry-Labordere
language : en
Publisher: CRC Press
Release Date : 2008-09-22
Analysis Geometry And Modeling In Finance written by Pierre Henry-Labordere and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-22 with Business & Economics categories.
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th
Large Deviations And Asymptotic Methods In Finance
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Author : Peter K. Friz
language : en
Publisher: Springer
Release Date : 2015-06-16
Large Deviations And Asymptotic Methods In Finance written by Peter K. Friz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-16 with Mathematics categories.
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.
Commodities
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Author : M. A. H. Dempster
language : en
Publisher: CRC Press
Release Date : 2015-11-05
Commodities written by M. A. H. Dempster and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-05 with Business & Economics categories.
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Counterparty Risk And Funding
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Author : Stéphane Crépey
language : en
Publisher: CRC Press
Release Date : 2014-06-23
Counterparty Risk And Funding written by Stéphane Crépey and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-23 with Business & Economics categories.
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.
Equity Linked Life Insurance
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Author : Alexander Melnikov
language : en
Publisher: CRC Press
Release Date : 2017-09-07
Equity Linked Life Insurance written by Alexander Melnikov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-07 with Business & Economics categories.
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.
Recent Developments In Computational Finance
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Author : Thomas Gerstner
language : en
Publisher: World Scientific
Release Date : 2013
Recent Developments In Computational Finance written by Thomas Gerstner and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
Options 45 Years Since The Publication Of The Black Scholes Merton Model The Gershon Fintech Center Conference
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Author : David Gershon
language : en
Publisher: World Scientific
Release Date : 2022-12-21
Options 45 Years Since The Publication Of The Black Scholes Merton Model The Gershon Fintech Center Conference written by David Gershon and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-21 with Business & Economics categories.
This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.
Wonderpedia Of Neopoprealism Journal In The News 2008 2010
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Author : Nadia Russ
language : en
Publisher: NeoPopRealism PRESS
Release Date : 2015-08-07
Wonderpedia Of Neopoprealism Journal In The News 2008 2010 written by Nadia Russ and has been published by NeoPopRealism PRESS this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-07 with Literary Criticism categories.
NeoPopRealism Journal and Wonderpedia founded by Nadia Russ in 2007 (N.J.) and 2008 (W.). Wonderpedia is dedicated to books published all over the globe after year 2000, offering the books' reviews.
Nonlinear Option Pricing
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Author : Julien Guyon
language : en
Publisher: CRC Press
Release Date : 2013-12-19
Nonlinear Option Pricing written by Julien Guyon and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-19 with Business & Economics categories.
New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi
Stochastic Exponential Growth And Lattice Gases
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Author : Dan Pirjol
language : en
Publisher: Springer Nature
Release Date : 2022-09-01
Stochastic Exponential Growth And Lattice Gases written by Dan Pirjol and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-01 with Mathematics categories.
The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.