Discrete Time Option Pricing With Flexible Volatility Estimation
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Discrete Time Option Pricing With Flexible Volatility Estimation
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Author : Wolfgang Härdle
language : en
Publisher:
Release Date : 1997
Discrete Time Option Pricing With Flexible Volatility Estimation written by Wolfgang Härdle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Discrete Time Stochastic Volatility
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Author : Thomas Roos
language : en
Publisher:
Release Date : 2017
Discrete Time Stochastic Volatility written by Thomas Roos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We propose a new methodology for obtaining arbitrage free European option prices from a SABR-like parameterisation. The method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the calculation of a simple one-dimensional numerical integral per option price. CMS prices and some more general payouts can also be obtained as one-dimensional integrals. The specification of the volatility function is flexible and allows additional control over the wings of the distribution. The approach itself is general and applicable to a variety of asset classes.
Semiparametric Modeling Of Implied Volatility
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Author : Matthias R. Fengler
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-19
Semiparametric Modeling Of Implied Volatility written by Matthias R. Fengler 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 2005-12-19 with Business & Economics categories.
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Stochastic Volatility Option Pricing In Discrete Time
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Author : Victor K. Ng
language : en
Publisher:
Release Date : 1991
Stochastic Volatility Option Pricing In Discrete Time written by Victor K. Ng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Options (Finance) categories.
Garch Models
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Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2019-06-10
Garch Models written by Christian Francq 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 2019-06-10 with Mathematics categories.
Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
An Introduction To Analysis Of Financial Data With R
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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2014-08-21
An Introduction To Analysis Of Financial Data With R written by Ruey S. Tsay 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 2014-08-21 with Business & Economics categories.
A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The author supplies a hands-on introduction to the analysis of financial data using the freely available R software package and case studies to illustrate actual implementations of the discussed methods. The book begins with the basics of financial data, discussing their summary statistics and related visualization methods. Subsequent chapters explore basic time series analysis and simple econometric models for business, finance, and economics as well as related topics including: Linear time series analysis, with coverage of exponential smoothing for forecasting and methods for model comparison Different approaches to calculating asset volatility and various volatility models High-frequency financial data and simple models for price changes, trading intensity, and realized volatility Quantitative methods for risk management, including value at risk and conditional value at risk Econometric and statistical methods for risk assessment based on extreme value theory and quantile regression Throughout the book, the visual nature of the topic is showcased through graphical representations in R, and two detailed case studies demonstrate the relevance of statistics in finance. A related website features additional data sets and R scripts so readers can create their own simulations and test their comprehension of the presented techniques. An Introduction to Analysis of Financial Data with R is an excellent book for introductory courses on time series and business statistics at the upper-undergraduate and graduate level. The book is also an excellent resource for researchers and practitioners in the fields of business, finance, and economics who would like to enhance their understanding of financial data and today's financial markets.
Nonlinear Time Series Analysis With Applications To Foreign Exchange Rate Volatility
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Author : Christian Hafner
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-27
Nonlinear Time Series Analysis With Applications To Foreign Exchange Rate Volatility written by Christian Hafner 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 2013-11-27 with Business & Economics categories.
The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
Mathematical Finance
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Author : Michael Kohlmann
language : en
Publisher: Birkhäuser
Release Date : 2012-12-06
Mathematical Finance written by Michael Kohlmann and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.
Arch Models For Financial Applications
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Author : Evdokia Xekalaki
language : en
Publisher: John Wiley & Sons
Release Date : 2010-03-18
Arch Models For Financial Applications written by Evdokia Xekalaki 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 2010-03-18 with Mathematics categories.
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Volatility Estimation And Option Pricing
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Author : Jian Zou
language : en
Publisher:
Release Date : 2009
Volatility Estimation And Option Pricing written by Jian Zou 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.