Testing The Forecasting Performance Of Ibex 35 Option Implied
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Testing The Forecasting Performance Of Ibex 35 Option Implied
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Author :
language : en
Publisher:
Release Date : 2005
Testing The Forecasting Performance Of Ibex 35 Option Implied written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Testing The Forecasting Performance Of Ibex 35 Option Implied Risk Neutral Densities
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Author : Francisco Alonso
language : en
Publisher:
Release Date : 2005
Testing The Forecasting Performance Of Ibex 35 Option Implied Risk Neutral Densities written by Francisco Alonso and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Option Implied Preferences Adjustments Density Forecasts And The Equity Risk Premium
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Author : Francisco Alonso
language : en
Publisher:
Release Date : 2006
Option Implied Preferences Adjustments Density Forecasts And The Equity Risk Premium written by Francisco Alonso and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Commodity futures categories.
Risk Finance And Asset Pricing
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Author : Charles S. Tapiero
language : en
Publisher: John Wiley & Sons
Release Date : 2010-09-24
Risk Finance And Asset Pricing written by Charles S. Tapiero 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 2010-09-24 with Business & Economics categories.
A comprehensive guide to financial engineering that stresses real-world applications Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming to financial engineering and its applications. With an eye toward the future, he has crafted a comprehensive and accessible book for practitioners and students of Financial Engineering that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book covers the theory from a practitioner perspective and applies it to a variety of real-world problems. Examines the cornerstone of the explosive growth in markets worldwide Presents important financial engineering techniques to price, hedge, and manage risks in general Author heads the largest financial engineering program in the world Author Charles Tapiero wrote the seminal work Risk and Financial Management.
Analysing Intraday Implied Volatility For Pricing Currency Options
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Author : Thi Le
language : en
Publisher: Springer Nature
Release Date : 2021-04-13
Analysing Intraday Implied Volatility For Pricing Currency Options written by Thi Le and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-13 with Business & Economics categories.
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Handbook Of Neural Computation
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Author : Emile Fiesler
language : en
Publisher: CRC Press
Release Date : 1997-01-01
Handbook Of Neural Computation written by Emile Fiesler and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-01 with Technology & Engineering categories.
In recent years, neural computation has developed from a specialized research discipline into a broadly based and dynamic activity with applications in an astonishing variety of fields. Many scientists, engineers and other practitioners are now using neural networks to tackle problems that are either intractable or unrealistically time consuming to solve through traditional computational strategies. The inaugural volume in the Computational Intelligence Library provides speedy dissemination of new ideas to a broad spectrum of neural network users, designers and implementers. Devoted to network fundamentals, models, algorithms and applications, the work is intended to become the standard reference resource for the neural network community. As the field expands and develops, leading researchers will report on an analyze promising new approaches. In this way, the Handbook will become an evolving compendium on the state of the art of neural computation. Available in loose-leaf print form as well as in an electronic edition that combines both CD-ROM and on-line (World Wide Web) access to its contents, the Handbook of Neural Computation is available on a subscription basis, with regularly published supplements keeping readers abreast of late-breaking developments and new advances in this rapidly developing field.
The Volatility Smile
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Author : Emanuel Derman
language : en
Publisher: John Wiley & Sons
Release Date : 2016-08-15
The Volatility Smile written by Emanuel Derman 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 2016-08-15 with Business & Economics categories.
The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.
Bolet N De Estudios Economicos
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Author :
language : es
Publisher:
Release Date : 2005
Bolet N De Estudios Economicos written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Economics categories.
Implied Volatility Functions
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Author : Bernard Dumas
language : en
Publisher:
Release Date : 1996
Implied Volatility Functions written by Bernard Dumas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Options (Finance) categories.
Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Quantitative Methods For Economics And Finance
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Author : J.E. Trinidad-Segovia
language : en
Publisher: MDPI
Release Date : 2021-02-12
Quantitative Methods For Economics And Finance written by J.E. Trinidad-Segovia and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-12 with Business & Economics categories.
This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.