Girsanov Numeraires And All That
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Girsanov Numeraires And All That
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Author : Patrick S. Hagan
language : en
Publisher: Cambridge University Press
Release Date : 2022-11-17
Girsanov Numeraires And All That written by Patrick S. Hagan 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 2022-11-17 with Business & Economics categories.
In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.
Game Theoretic Foundations For Probability And Finance
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Author : Glenn Shafer
language : en
Publisher: John Wiley & Sons
Release Date : 2019-05-08
Game Theoretic Foundations For Probability And Finance written by Glenn Shafer 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 2019-05-08 with Business & Economics categories.
Game-theoretic probability and finance come of age Glenn Shafer and Vladimir Vovk’s Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito’s stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory. Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context. Praise from early readers “Ever since Kolmogorov's Grundbegriffe, the standard mathematical treatment of probability theory has been measure-theoretic. In this ground-breaking work, Shafer and Vovk give a game-theoretic foundation instead. While being just as rigorous, the game-theoretic approach allows for vast and useful generalizations of classical measure-theoretic results, while also giving rise to new, radical ideas for prediction, statistics and mathematical finance without stochastic assumptions. The authors set out their theory in great detail, resulting in what is definitely one of the most important books on the foundations of probability to have appeared in the last few decades.” – Peter Grünwald, CWI and University of Leiden “Shafer and Vovk have thoroughly re-written their 2001 book on the game-theoretic foundations for probability and for finance. They have included an account of the tremendous growth that has occurred since, in the game-theoretic and pathwise approaches to stochastic analysis and in their applications to continuous-time finance. This new book will undoubtedly spur a better understanding of the foundations of these very important fields, and we should all be grateful to its authors.” – Ioannis Karatzas, Columbia University
Efficient Methods For Valuing Interest Rate Derivatives
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Author : Antoon Pelsser
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Efficient Methods For Valuing Interest Rate Derivatives written by Antoon Pelsser 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 2013-03-09 with Mathematics categories.
Efficient Methods for Valuing Interest Rate Derivatives provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore the practical issues, such as the implementation of models, and model selection. Aimed at people with a solid quantitative background, this book will be of particular interest to risk managers, interest rate derivative traders, quantitative researchers, portfolio and fund managers, and students of mathematics and economics, but it will also prove invaluable to anyone looking for a good overview of interest rate derivative modelling.
Arbitrage Theory In Continuous Time
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Author : Tomas Björk
language : en
Publisher: Oxford University Press
Release Date : 2004-03
Arbitrage Theory In Continuous Time written by Tomas Björk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-03 with Arbitrage categories.
The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises and suggests further reading in each chapter. In this substantially extended new edition, Bjork has added separate and complete chapters on measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
A Course In Derivative Securities
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Author : Kerry Back
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-10-11
A Course In Derivative Securities written by Kerry Back 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 2005-10-11 with Business & Economics categories.
"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
Interest Rate Swaps And Their Derivatives
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Author : Amir Sadr
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-09
Interest Rate Swaps And Their Derivatives written by Amir Sadr 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 2009-09-09 with Business & Economics categories.
An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the theory of these instruments and their actual use in day-to-day life. This comprehensive guide covers the main "rates" products, including swaps, options (cap/floors, swaptions), CMS products, and Bermudan callables. It also covers the main valuation techniques for the exotics/structured-notes area, which remains one of the most challenging parts of the market. Provides a balance of relevant theory and real-world trading instruments for rate swaps and swap derivatives Uses simple settings and illustrations to reveal key results Written by an experienced trader who has worked with swaps, options, and exotics With this book, author Amir Sadr shares his valuable insights with practitioners in the field of interest rate derivatives-from traders and marketers to those in operations.
Recent Developments In Mathematical Finance Proceedings Of The International Conference On Mathematical Finance
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Author : Jiongmin Yong
language : en
Publisher: World Scientific
Release Date : 2001-12-28
Recent Developments In Mathematical Finance Proceedings Of The International Conference On Mathematical Finance written by Jiongmin Yong and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-28 with Mathematics categories.
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Recent Developments In Mathematical Finance
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Author : Jiongmin Yong
language : en
Publisher: World Scientific
Release Date : 2002
Recent Developments In Mathematical Finance written by Jiongmin Yong and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Mathematics categories.
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Pricing Credit Derivatives In A Libor Market Model
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Author : Hanno Damm
language : en
Publisher: GRIN Verlag
Release Date : 2007-08
Pricing Credit Derivatives In A Libor Market Model written by Hanno Damm and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08 with categories.
Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut f r Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Sch nbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Sch nbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management.
Arbitrage Theory In Continuous Time
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Author : Tomas Bjork
language : en
Publisher: Oxford University Press, USA
Release Date : 2020-01-16
Arbitrage Theory In Continuous Time written by Tomas Bjork and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-16 with Arbitrage categories.
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, Arbitrage Theory in Continuous Time is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Bjork has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. This edition includes an entirely new section presenting dynamic equilibrium theory, covering unit net supply endowments models and the Cox-Ingersoll-Ross equilibrium factor model. Providing two full treatments of arbitrage theory-the classical delta hedging approach and the modern martingale approach-this book is written so that these approaches can be studied independently of each other, thus providing the less mathematically-oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action. This textbook is a natural choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in the market.