Working Paper 90 29 A Simple Approach To Interest Rate Option Pricing
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Working Paper 90 29 A Simple Approach To Interest Rate Option Pricing
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Author : Queen's University. School of Business. Research Program
language : en
Publisher:
Release Date : 1990
Working Paper 90 29 A Simple Approach To Interest Rate Option Pricing written by Queen's University. School of Business. Research Program and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
A Simple Approach To Interest Rate Option Pricing
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Author : Stuart McLean Turnbull
language : en
Publisher: Kingston, Ont. : School of Business, Queen's University
Release Date : 1990
A Simple Approach To Interest Rate Option Pricing written by Stuart McLean Turnbull and has been published by Kingston, Ont. : School of Business, Queen's University this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
A Simple Approach To Bond Option Pricing
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Author : Jason Zhanshun Wei
language : en
Publisher:
Release Date : 1998
A Simple Approach To Bond Option Pricing written by Jason Zhanshun Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Many authors have derived closed-form formulas for European options on discount bonds within a one-factor interest rate framework. The only known formula for European options on coupon-paying bonds is given by Jamshidian (1989), which is in the form of a portfolio of options on discount bonds. Not only does this approach require pricing of more than one options, it also requires that a threshold interest rate level be solved iteratively. When there are many coupons or when pricing is needed more frequently, Jamshidian's approach can be costly. In this paper, we show a very simple approach to pricing European options on bond portfolios. We not only do away with the requirement of calculating iteratively the threshold level of interest rate, but also reduce the calculation to only one option price. It also dramatically simplifies hedging. The key of this approach is to use a single discount bond to approximate the bond portfolio by matching durations.
Contents Of Recent Economics Journals
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Author :
language : en
Publisher:
Release Date : 1990-10-26
Contents Of Recent Economics Journals written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-10-26 with Economics categories.
Canadiana
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Author :
language : en
Publisher:
Release Date : 1991
Canadiana written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Canada categories.
Equity Hybrid Derivatives
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Author : Marcus Overhaus
language : en
Publisher: John Wiley & Sons
Release Date : 2007-02-02
Equity Hybrid Derivatives written by Marcus Overhaus 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 2007-02-02 with Business & Economics categories.
Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.
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.
Monte Carlo Methods In Finance
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Author : Peter Jäckel
language : en
Publisher: John Wiley & Sons
Release Date : 2002-04-03
Monte Carlo Methods In Finance written by Peter Jäckel 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 2002-04-03 with Business & Economics categories.
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Dynamic Factor Models
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Author :
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-01-08
Dynamic Factor Models written by and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Business & Economics categories.
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.