The Black Scholes Merton Model As An Idealization Of Discrete Time Economies
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The Black Scholes Merton Model As An Idealization Of Discrete Time Economies
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Author : David M. Kreps
language : en
Publisher: Cambridge University Press
Release Date : 2019-09-19
The Black Scholes Merton Model As An Idealization Of Discrete Time Economies written by David M. Kreps 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 2019-09-19 with Business & Economics categories.
"I began this monograph (which, at the time, was a nascent paper) with the objective of understandinghow and how well continuous-time models of economic phenomena - and in particular models that employ Brownian motion - relate to "near by" discrete-time models. We know by examples that the connections are sometimes not altogether obvious; see, for instance, Fudenberg and Levine (2009) and Sadzik and Stacchetti (2015). So, it seemed to me, a general theory connecting the two types of models ought to be available"--
Analysis Of Panel Data
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Author : Cheng Hsiao
language : en
Publisher: Cambridge University Press
Release Date : 2022-07-07
Analysis Of Panel Data written by Cheng Hsiao 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 2022-07-07 with Business & Economics categories.
A comprehensive introduction of fundamental panel data methodologies.
Stochastic Finance
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Author : Amanda Turner
language : en
Publisher: Cambridge University Press
Release Date : 2023-01-31
Stochastic Finance written by Amanda Turner 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 2023-01-31 with Mathematics categories.
Stochastic Finance provides an introduction to mathematical finance that is unparalleled in its accessibility. Through classroom testing, the authors have identified common pain points for students, and their approach takes great care to help the reader to overcome these difficulties and to foster understanding where comparable texts often do not. Written for advanced undergraduate students, and making use of numerous detailed examples to illustrate key concepts, this text provides all the mathematical foundations necessary to model transactions in the world of finance. A first course in probability is the only necessary background. The book begins with the discrete binomial model and the finite market model, followed by the continuous Black–Scholes model. It studies the pricing of European options by combining financial concepts such as arbitrage and self-financing trading strategies with probabilistic tools such as sigma algebras, martingales and stochastic integration. All these concepts are introduced in a relaxed and user-friendly fashion.
Microeconomic Foundations Ii
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Author : David M. Kreps
language : en
Publisher: Princeton University Press
Release Date : 2023-01-03
Microeconomic Foundations Ii written by David M. Kreps and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-03 with Business & Economics categories.
A cutting-edge introduction to key topics in modern economic theory for first-year graduate students in economics and related fields Volume II of Microeconomic Foundations introduces models and methods at the center of modern microeconomic theory. In this textbook, David Kreps, a leading economic theorist, emphasizes foundational material, concentrating on seminal work that provides perspective on how and why the theory developed. Because noncooperative game theory is the chief tool of modeling and analyzing microeconomic phenomena, the book stresses the applications of game theory to economics. And throughout, it underscores why theory is most useful when it supports rather than supplants economic intuition. Introduces first-year graduate students to the models and methods at the core of microeconomic theory today Covers an extensive range of topics, including the agency theory, market signaling, relational contracting, bilateral bargaining, auctions, matching markets, and mechanism design Stresses the use—and misuse—of theory in studying economic phenomena and shows why theory should support, not replace, economic intuition Includes extensive appendices reviewing the essential concepts of noncooperative game theory, with guidance about how it should and shouldn’t be used Features free online supplements, including chapter outlines and overviews, solutions to all the problems in the book, and more
The Black Scholes Model
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Author : Marek Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-09-13
The Black Scholes Model written by Marek Capiński 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 2012-09-13 with Business & Economics categories.
Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Revealed Preference Theory
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Author : Christopher P. Chambers
language : en
Publisher: Cambridge University Press
Release Date : 2016-01-05
Revealed Preference Theory written by Christopher P. Chambers 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 2016-01-05 with Business & Economics categories.
The theory of revealed preference has a long, distinguished tradition in economics but lacked a systematic presentation of the theory until now. This book deals with basic questions in economic theory and studies situations in which empirical observations are consistent or inconsistent with some of the best known economic theories.
A Non Random Walk Down Wall Street
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Author : Andrew W. Lo
language : en
Publisher: Princeton University Press
Release Date : 2011-11-14
A Non Random Walk Down Wall Street written by Andrew W. Lo and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-14 with Business & Economics categories.
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Tools For Computational Finance
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Author : Rüdiger U. Seydel
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-03-09
Tools For Computational Finance written by Rüdiger U. Seydel 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 2012-03-09 with Mathematics categories.
The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.
Energy And Power Risk Management
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Author : Alexander Eydeland
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Energy And Power Risk Management written by Alexander Eydeland 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 2003-02-03 with Business & Economics categories.
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
An Introduction To Hybrid Dynamical Systems
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Author : Arjan J. van der Schaft
language : en
Publisher: Springer
Release Date : 2007-10-03
An Introduction To Hybrid Dynamical Systems written by Arjan J. van der Schaft and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-10-03 with Technology & Engineering categories.
This book is about dynamical systems that are "hybrid" in the sense that they contain both continuous and discrete state variables. Recently there has been increased research interest in the study of the interaction between discrete and continuous dynamics. The present volume provides a first attempt in book form to bring together concepts and methods dealing with hybrid systems from various areas, and to look at these from a unified perspective. The authors have chosen a mode of exposition that is largely based on illustrative examples rather than on the abstract theorem-proof format because the systematic study of hybrid systems is still in its infancy. The examples are taken from many different application areas, ranging from power converters to communication protocols and from chaos to mathematical finance. Subjects covered include the following: definition of hybrid systems; description formats; existence and uniqueness of solutions; special subclasses (variable-structure systems, complementarity systems); reachability and verification; stability and stabilizability; control design methods. The book will be of interest to scientists from a wide range of disciplines including: computer science, control theory, dynamical system theory, systems modeling and simulation, and operations research.