Pricing And Hedging Index Options Under Stochastic Volatility
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Pricing And Hedging Index Options Under Stochastic Volatility
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Author : Saikat Nandi
language : en
Publisher:
Release Date : 1996
Pricing And Hedging Index Options Under Stochastic Volatility written by Saikat Nandi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Hedging (Finance) categories.
Stochastic Volatility
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Author : Neil Shephard
language : en
Publisher: OUP Oxford
Release Date : 2005-03-10
Stochastic Volatility written by Neil Shephard and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-03-10 with Business & Economics categories.
Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
Handbook Of Quantitative Finance And Risk Management
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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee 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 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Stochastic Volatility And The Pricing Of Financial Derivatives
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Author : Antoine Petrus Cornelius van der Ploeg
language : en
Publisher: Rozenberg Publishers
Release Date : 2006
Stochastic Volatility And The Pricing Of Financial Derivatives written by Antoine Petrus Cornelius van der Ploeg and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Financial Econometrics Mathematics And Statistics
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Author : Cheng-Few Lee
language : en
Publisher: Springer
Release Date : 2019-06-03
Financial Econometrics Mathematics And Statistics written by Cheng-Few Lee and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-03 with Business & Economics categories.
This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Option Valuation Under Stochastic Volatility
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Author : Alan L. Lewis
language : en
Publisher:
Release Date : 2000
Option Valuation Under Stochastic Volatility written by Alan L. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
Volatility Surface And Term Structure
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Author : Kin Keung Lai
language : en
Publisher: Routledge
Release Date : 2013-09-11
Volatility Surface And Term Structure written by Kin Keung Lai and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-11 with Business & Economics categories.
This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Bayesian Statistics 7
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Author : J. M. Bernardo
language : en
Publisher: Oxford University Press
Release Date : 2003-07-03
Bayesian Statistics 7 written by J. M. Bernardo 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 2003-07-03 with Mathematics categories.
This volume contains the proceedings of the 7th Valencia International Meeting on Bayesian Statistics. This conference is held every four years and provides the main forum for researchers in the area of Bayesian statistics to come together to present and discuss frontier developments in the field.
Inside Volatility Arbitrage
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Author : Alireza Javaheri
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
Inside Volatility Arbitrage written by Alireza Javaheri 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 2011-08-24 with Business & Economics categories.
Today?s traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility -- time series and financial econometrics -- in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.
Market Risk Analysis Pricing Hedging And Trading Financial Instruments
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2008-06-09
Market Risk Analysis Pricing Hedging And Trading Financial Instruments written by Carol Alexander 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 2008-06-09 with Business & Economics categories.
Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.