Efficient Pricing Algorithms For Exotic Derivatives PDF Download
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Author | : Roger Lord |
Publisher | : Rozenberg Publishers |
Total Pages | : 211 |
Release | : 2008 |
Genre | : |
ISBN | : 9051709099 |
Download Efficient pricing algorithms for exotic derivatives Book in PDF, ePub and Kindle
Author | : Mohamed Bouzoubaa |
Publisher | : John Wiley & Sons |
Total Pages | : 405 |
Release | : 2010-03-30 |
Genre | : Business & Economics |
ISBN | : 047071008X |
Download Exotic Options and Hybrids Book in PDF, ePub and Kindle
The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Author | : Taoying Farenhorst-Yuan |
Publisher | : Rozenberg Publishers |
Total Pages | : 198 |
Release | : 2010 |
Genre | : |
ISBN | : 905170660X |
Download Efficient simulation algorithms for optimization of discrete event systems based on measure-valued differentation Book in PDF, ePub and Kindle
Author | : Julia Di Nunno |
Publisher | : Springer Science & Business Media |
Total Pages | : 532 |
Release | : 2011-03-29 |
Genre | : Mathematics |
ISBN | : 364218412X |
Download Advanced Mathematical Methods for Finance Book in PDF, ePub and Kindle
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Author | : Andreas Kyprianou |
Publisher | : John Wiley & Sons |
Total Pages | : 344 |
Release | : 2006-06-14 |
Genre | : Business & Economics |
ISBN | : 0470017201 |
Download Exotic Option Pricing and Advanced Lévy Models Book in PDF, ePub and Kindle
Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
Author | : Valeriy V. Ryabchenko |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options Book in PDF, ePub and Kindle
Our second study considered a regression approach to pricing European options in an incomplete market. The algorithm replicates an option by a portfolio consisting of the underlying security and a risk-free bond. We apply linear regression framework and quadratic programming with linear constraints (input = sample paths of underlying security; output = table of option prices as a function of time and price of the underlying security). We populate the model with historical prices of the underlying security (possibly massaged to the present volatility) or with Monte Carlo simulated prices. Risk neutral processes or probabilities are not needed in this framework.
Author | : Riemer Pieter Faber |
Publisher | : Rozenberg Publishers |
Total Pages | : 157 |
Release | : 2010 |
Genre | : |
ISBN | : 9036101654 |
Download Prices and Pricesetting Book in PDF, ePub and Kindle
Author | : Andrey M. Lizyayev |
Publisher | : Rozenberg Publishers |
Total Pages | : 136 |
Release | : 2010 |
Genre | : |
ISBN | : 9036101875 |
Download Stochastic dominance in portfolio analysis and asset pricing Book in PDF, ePub and Kindle
Author | : P. J. Hunt |
Publisher | : |
Total Pages | : 452 |
Release | : 2000-05-31 |
Genre | : Business & Economics |
ISBN | : |
Download Financial Derivatives in Theory and Practice Book in PDF, ePub and Kindle
This text primarily discusses the pricing and hedging of derivatives and the determination of risks associated with writing options. Part 4 includes a compendium of examples, many providing solutions to problems set earlier in the text.
Author | : Wendong Zheng |
Publisher | : |
Total Pages | : 30 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Fourier Transform Algorithms for Pricing and Hedging Discretely Sampled Exotic Variance Products and Volatility Derivatives Under Additive Processes Book in PDF, ePub and Kindle
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non-trivial versions of the Fourier space time stepping method to nonlinear path dependent payoff structures, like those in variance products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is captured in the numerical procedure by updating two path dependent state variables across monitoring dates. The time stepping procedure between successive monitoring dates can be performed using fast Fourier transform calculations without the usual tedious time stepping calculations in typical nite di erence algorithms. We also derive effective numerical procedures that compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance products and volatility derivatives were performed that illustrate e ciency, accuracy, reliability and robustness of the proposed Fourier transform algorithms.