Financial Modelling With Jump Processes

DOWNLOAD

Download Financial Modelling With Jump Processes PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Financial Modelling With Jump Processes book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Financial Modelling With Jump Processes

DOWNLOAD
Author : Peter Tankov
language : en
Publisher: CRC Press
Release Date : 2003-12-30

Financial Modelling With Jump Processes written by Peter Tankov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-30 with Business & Economics categories.

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Financial Modelling

DOWNLOAD
Author : Joerg Kienitz
language : en
Publisher: John Wiley & Sons
Release Date : 2013-02-18

Financial Modelling written by Joerg Kienitz 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 2013-02-18 with Business & Economics categories.

Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.

Point Processes And Jump Diffusions

DOWNLOAD
Author : Tomas Björk
language : en
Publisher: Cambridge University Press
Release Date : 2021-06-17

Point Processes And Jump Diffusions written by Tomas Björk 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 2021-06-17 with Business & Economics categories.

Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

Jump Processes In Finance Modeling Simulation Inference And Pricing

DOWNLOAD
Author : Viktor Todorov
language : en
Publisher:
Release Date : 2007

Jump Processes In Finance Modeling Simulation Inference And Pricing written by Viktor Todorov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Finance categories.

With the availability of high-frequency financial data it becomes apparent that most financial asset prices contain jumps and therefore jumps should be incorporated in realistic asset pricing models. In this dissertation I study different issues related with the application of jump processes in finance and econometrics.

Financial Modeling Under Non Gaussian Distributions

DOWNLOAD
Author : Eric Jondeau
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-05

Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau 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 2007-04-05 with Mathematics categories.

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Financial Modeling

DOWNLOAD
Author : Stephane Crepey
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-13

Financial Modeling written by Stephane Crepey 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 2013-06-13 with Computers categories.

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance

Financial Modelling And Derivative Pricing In The Energy Markets With Jump Processes

DOWNLOAD
Author : R. J. Iles
language : en
Publisher:
Release Date : 2008

Financial Modelling And Derivative Pricing In The Energy Markets With Jump Processes written by R. J. Iles and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Advanced Modelling In Mathematical Finance

DOWNLOAD
Author : Jan Kallsen
language : en
Publisher: Springer
Release Date : 2016-12-01

Advanced Modelling In Mathematical Finance written by Jan Kallsen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-01 with Mathematics categories.

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Option Pricing And Estimation Of Financial Models With R

DOWNLOAD
Author : Stefano M. Iacus
language : en
Publisher: John Wiley & Sons
Release Date : 2011-02-23

Option Pricing And Estimation Of Financial Models With R written by Stefano M. Iacus 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 2011-02-23 with Business & Economics categories.

Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Mathematics Of The Bond Market A L Vy Processes Approach

DOWNLOAD
Author : Michał Barski
language : en
Publisher: Cambridge University Press
Release Date : 2020-04-23

Mathematics Of The Bond Market A L Vy Processes Approach written by Michał Barski 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 2020-04-23 with Business & Economics categories.

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.