Vinzenz Bronzin S Option Pricing Models
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Vinzenz Bronzin S Option Pricing Models
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Author : Wolfgang Hafner
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-11-18
Vinzenz Bronzin S Option Pricing Models written by Wolfgang Hafner 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 2009-11-18 with Business & Economics categories.
In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.
Black Scholes And Beyond Option Pricing Models
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Author : Neil Chriss
language : en
Publisher: McGraw-Hill
Release Date : 1997
Black Scholes And Beyond Option Pricing Models written by Neil Chriss and has been published by McGraw-Hill this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Vincenz Bronzin S Option Pricing Theory
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Author : Heinz Zimmermann
language : en
Publisher:
Release Date : 2005
Vincenz Bronzin S Option Pricing Theory written by Heinz Zimmermann 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 Pricing Models And Volatility Using Excel Vba
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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2012-06-15
Option Pricing Models And Volatility Using Excel Vba written by Fabrice D. Rouah 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 2012-06-15 with Business & Economics categories.
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Mathematical Modeling And Methods Of Option Pricing
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Author : Lishang Jiang
language : en
Publisher: World Scientific Publishing Company
Release Date : 2005-07-18
Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-18 with Business & Economics categories.
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
The Greeks And Hedging Explained
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Author : Peter Leoni
language : en
Publisher: Springer
Release Date : 2014-05-29
The Greeks And Hedging Explained written by Peter Leoni and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-29 with Business & Economics categories.
A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.
Viral Diseases Of Field And Horticultural Crops
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Author : L. P. Awasthi
language : en
Publisher: Elsevier
Release Date : 2023-09-20
Viral Diseases Of Field And Horticultural Crops written by L. P. Awasthi and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-20 with Science categories.
Viral Diseases of Field and Horticultural Crops details the fundamental and applied aspects of the viral diseases of field and horticultural crops. The book opens with a historical introduction to plant virology, important plant virologists, and landmarks. It continues with systematic coverage of viral diseases, their economic significance, disease symptoms, host range, mode of transmission, diagnostic techniques, geographic distribution, epidemiology, yield losses, and control and management of the disease. Contributions from an international group of virologists with a wide range of academic, research, professional, and specialized backgrounds in plant virology makes Viral Diseases of Field and Horticultural Crops a comprehensive and must-have resource for those engaged in the study and research of plant virology, microbiology, and plant pathology particularly viral diseases and their impact on field and horticultural crops. Provides virus characterization according to the disease pattern and symptoms they cause Covers viral diseases of cereals, oil seeds, legumes, commercial crops, spices and condiments, medicinal and aromatic crops, forage crops, vegetable crops, fruit crops, tree nuts, among others Discusses advances like applications in nanotechnology, molecular techniques for the detection and characterization of plant viruses, and the development of technologies for detecting plant viruses
From Galileo To Modern Economics
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Author : Gianfranco Tusset
language : en
Publisher: Springer
Release Date : 2018-09-08
From Galileo To Modern Economics written by Gianfranco Tusset and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-08 with Business & Economics categories.
Empirical laws are rare in economics. This book describes efforts to anchor economic knowledge to invariant empirical laws. It links 17th and 18th century Galilean monetary economists to econophysics, a field that emerged in the mid-1990s. This virtual journey from past to present is charted by episodes on aggregates and empirical primacy. It includes the virtually unknown story of 19th century scholars who, by searching for a stricter mathematical approach, paved the way to an ‘engineering’ view of economics. Then there are celebrities like Pareto and his first empirical law governing the distribution of wealth. Pareto and Amoroso sparked a debate on the skewed distribution that spanned decades, ranging from finance to market transformations, to econophysics, with its concepts and tools inherited from statistical physics. The last stage of the journey goes through econophysics and the recent gradual advances it has made, which show how its position vis-à-vis economics has been changing.
Financial Derivatives
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Author :
language : en
Publisher: PediaPress
Release Date :
Financial Derivatives written by and has been published by PediaPress this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Actuarial Finance
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Author : Mathieu Boudreault
language : en
Publisher: John Wiley & Sons
Release Date : 2019-03-22
Actuarial Finance written by Mathieu Boudreault 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 2019-03-22 with Mathematics categories.
A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.