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Author: Nikolaos Panigirtzoglou
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper presents a new approach to modeling the dynamics of implied distributions. First, we obtain a parsimonious description of the dynamics of the Samp;P 500 implied cumulative distribution functions (CDFs) by applying Principal Components Analysis. Subsequently, we develop new arbitrage-free Monte-Carlo simulation methods that model the evolution of the whole distribution through time as a diffusion process. Our approach generalizes the conventional approaches of modeling only the first two moments as diffusion processes, and it has important implications for smile-consistent option pricing and for risk management. The out-of-sample performance within a Value-at-Risk framework is examined.
Author: Nikolaos Panigirtzoglou
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper presents a new approach to modeling the dynamics of implied distributions. First, we obtain a parsimonious description of the dynamics of the Samp;P 500 implied cumulative distribution functions (CDFs) by applying Principal Components Analysis. Subsequently, we develop new arbitrage-free Monte-Carlo simulation methods that model the evolution of the whole distribution through time as a diffusion process. Our approach generalizes the conventional approaches of modeling only the first two moments as diffusion processes, and it has important implications for smile-consistent option pricing and for risk management. The out-of-sample performance within a Value-at-Risk framework is examined.
Author: Yoosoon Chang
Publisher: Emerald Group Publishing
ISBN: 1837532125
Category : Business & Economics
Languages : en
Pages : 449
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Book Description
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author: Bernd Scherer
Publisher: Oxford University Press
ISBN: 0199553432
Category : Business & Economics
Languages : en
Pages : 530
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Book Description
This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
Author: Stephen J. Taylor
Publisher: Princeton University Press
ISBN: 1400839254
Category : Business & Economics
Languages : en
Pages : 544
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Book Description
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Author: F.C.G.A. Nicolleau
Publisher: Springer Science & Business Media
ISBN: 940072506X
Category : Technology & Engineering
Languages : en
Pages : 159
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Book Description
This book contains a collection of the main contributions from the first five workshops held by Ercoftac Special Interest Group on Synthetic Turbulence Models (SIG42. It is intended as an illustration of the sig’s activities and of the latest developments in the field. This volume investigates the use of Kinematic Simulation (KS) and other synthetic turbulence models for the particular application to environmental flows. This volume offers the best syntheses on the research status in KS, which is widely used in various domains, including Lagrangian aspects in turbulence mixing/stirring, particle dispersion/clustering, and last but not least, aeroacoustics. Flow realizations with complete spatial, and sometime spatio-temporal, dependency, are generated via superposition of random modes (mostly spatial, and sometime spatial and temporal, Fourier modes), with prescribed constraints such as: strict incompressibility (divergence-free velocity field at each point), high Reynolds energy spectrum. Recent improvements consisted in incorporating linear dynamics, for instance in rotating and/or stably-stratified flows, with possible easy generalization to MHD flows, and perhaps to plasmas. KS for channel flows have also been validated. However, the absence of "sweeping effects" in present conventional KS versions is identified as a major drawback in very different applications: inertial particle clustering as well as in aeroacoustics. Nevertheless, this issue was addressed in some reference papers, and merits to be revisited in the light of new studies in progress.
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
ISBN: 0470937262
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.
Author: Rafael Herrerias-pleguezuelo
Publisher: World Scientific
ISBN: 9814477400
Category : Business & Economics
Languages : en
Pages : 307
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Book Description
Distribution Models Theory is a revised edition of papers specially selected by the Scientific Committee for the Fifth Workshop of Spanish Scientific Association of Applied Economy on Distribution Models Theory held in Granada (Spain) in September 2005. The contributions offer a must-have point of reference on models theory.This book has been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP®/ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version/ISI Proceedings)
Author: Masanao Aoki
Publisher: Cambridge University Press
ISBN: 9780521637695
Category : Business & Economics
Languages : en
Pages : 312
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Book Description
This book provides a method for modeling large collections of heterogeneous agents subject to non-pairwise externality called field effects.
Author: Peter Laurence
Publisher: CRC Press
ISBN: 135142047X
Category : Mathematics
Languages : en
Pages : 335
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Book Description
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
Author: Renat Khabibullin
Publisher: LAP Lambert Academic Publishing
ISBN: 9783845423050
Category :
Languages : en
Pages : 68
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Book Description
The problem of dynamic joint distribution estimation is very important from both theoretical and practical points of view: econometricians would be interested in developing new techniques and approaches to model dynamic joint distributions, whereas practitioners (especially, risk and asset managers) would be interested in obtaining dynamic distributions for computing risk measures and making optimal portfolio choices. This book introduces a new sequential methodology for dynamic joint distributions modeling based on combining small-dimensional distributions into higher-dimensional ones. The new proposition uses marginal and bivariate distributions as inputs, combines them to capture the dependence between one marginal and one bivariate, and then aggregates all of the dependencies to obtain trivariate distributions. Higher-dimensional distributions are built in a similar manner from one-dimension-smaller distributions and univariate ones through compounding and then aggregating them into a single distribution. Additionally, the book demonstrates how to apply this new sequential technique to model five-dimensional distribution of DJIA constituents.
