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Author: Liuren Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper proposes a stylized model that reconciles several seemingly conflicting findings on financial security returns and option prices. The model is based on a pure jump Levy process, wherein the jump arrival rate obeys a power law dampened by an exponential function. The model allows for different degrees of dampening for positive and negative jumps, and also different pricing for upside and downside market risks. Calibration of the model to the Samp;P 500 index shows that the market charges only a moderate premium on upward index movements, but the maximally allowable premium on downward index movements.
Author: Liuren Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper proposes a stylized model that reconciles several seemingly conflicting findings on financial security returns and option prices. The model is based on a pure jump Levy process, wherein the jump arrival rate obeys a power law dampened by an exponential function. The model allows for different degrees of dampening for positive and negative jumps, and also different pricing for upside and downside market risks. Calibration of the model to the Samp;P 500 index shows that the market charges only a moderate premium on upward index movements, but the maximally allowable premium on downward index movements.
Author: John R. Birge
Publisher: Elsevier
ISBN: 9780080553252
Category : Business & Economics
Languages : en
Pages : 1026
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Book Description
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Author: Morton Ann Gernsbacher
Publisher: Routledge
ISBN: 131770844X
Category : Psychology
Languages : en
Pages : 1304
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Book Description
This volume features the complete text of the material presented at the Twentieth Annual Conference of the Cognitive Science Society. As in previous years, the symposium included an interesting mixture of papers on many topics from researchers with diverse backgrounds and different goals, presenting a multifaceted view of cognitive science. This volume contains papers, posters, and summaries of symposia presented at the leading conference that brings cognitive scientists together to discuss issues of theoretical and applied concern. Submitted presentations are represented in these proceedings as "long papers" (those presented as spoken presentations and "full posters" at the conference) and "short papers" (those presented as "abstract posters" by members of the Cognitive Science Society).
Author: Sebastian Mallaby
Publisher: Penguin
ISBN: 0525560009
Category : Business & Economics
Languages : en
Pages : 496
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Book Description
“A gripping fly-on-the-wall story of the rise of this unique and important industry based on extensive interviews with some of the most successful venture capitalists.” - Daniel Rasmussen, Wall Street Journal “A must-read for anyone seeking to understand modern-day Silicon Valley and even our economy writ large.” -Bethany McLean, The Washington Post "A rare and unsettling look inside a subculture of unparalleled influence.” —Jane Mayer "A classic...A book of exceptional reporting, analysis and storytelling.” —Charles Duhigg From the New York Times bestselling author of More Money Than God comes the astonishingly frank and intimate story of Silicon Valley’s dominant venture-capital firms—and how their strategies and fates have shaped the path of innovation and the global economy Innovations rarely come from “experts.” Elon Musk was not an “electric car person” before he started Tesla. When it comes to improbable innovations, a legendary tech VC told Sebastian Mallaby, the future cannot be predicted, it can only be discovered. It is the nature of the venture-capital game that most attempts at discovery fail, but a very few succeed at such a scale that they more than make up for everything else. That extreme ratio of success and failure is the power law that drives the VC business, all of Silicon Valley, the wider tech sector, and, by extension, the world. In The Power Law, Sebastian Mallaby has parlayed unprecedented access to the most celebrated venture capitalists of all time—the key figures at Sequoia, Kleiner Perkins, Accel, Benchmark, and Andreessen Horowitz, as well as Chinese partnerships such as Qiming and Capital Today—into a riveting blend of storytelling and analysis that unfurls the history of tech incubation, in the Valley and ultimately worldwide. We learn the unvarnished truth, often for the first time, about some of the most iconic triumphs and infamous disasters in Valley history, from the comedy of errors at the birth of Apple to the avalanche of venture money that fostered hubris at WeWork and Uber. VCs’ relentless search for grand slams brews an obsession with the ideal of the lone entrepreneur-genius, and companies seen as potential “unicorns” are given intoxicating amounts of power, with sometimes disastrous results. On a more systemic level, the need to make outsized bets on unproven talent reinforces bias, with women and minorities still represented at woefully low levels. This does not just have social justice implications: as Mallaby relates, China’s homegrown VC sector, having learned at the Valley’s feet, is exploding and now has more women VC luminaries than America has ever had. Still, Silicon Valley VC remains the top incubator of business innovation anywhere—it is not where ideas come from so much as where they go to become the products and companies that create the future. By taking us so deeply into the VCs’ game, The Power Law helps us think about our own future through their eyes.
Author: Yue Kuen Kwok
Publisher: CRC Press
ISBN: 1000584259
Category : Business & Economics
Languages : en
Pages : 283
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Book Description
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Author: Jan Machowski
Publisher: John Wiley & Sons
ISBN: 9780471956433
Category : Science
Languages : en
Pages : 488
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Book Description
As the demand for electrical power increases, power systems are being operated closer to their stability limits than ever before. This text focuses on explaining and analysing the dynamic performance of such systems which is important for both system operation and planning. Placing emphasis on understanding the underlying physical principles, the book opens with an exploration of basic concepts using simple mathematical models. Building on these firm foundations the authors proceed to more complex models and algorithms. Features include: * Progressive approach from simplicity to complexity. * Detailed description of slow and fast dynamics. * Examination of the influence of automatic control on power system dynamics. * Stability enhancement including the use of PSS and Facts. * Advanced models and algorithms for power system stability analysis. Senior undergraduate, postgraduate and research students studying power systems will appreciate the authors' accessible approach. Also for electric utility engineers, this valuable resource examines power system dynamics and stability from both a mathematical and engineering viewpoint.
Author: Robert A. Schwartz
Publisher: Springer Science & Business Media
ISBN: 1441914749
Category : Business & Economics
Languages : en
Pages : 152
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Book Description
Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Author: Douglas Henderson
Publisher: CRC Press
ISBN: 1000104834
Category : Science
Languages : en
Pages : 616
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Book Description
A monograph examining recent progress in the field of inhomogeneous fluids, focusing on the theoretical - as well as experimental - techniques used. It presents the comprehensive theory of first-order phase transitions, including melting, and contains numerous figures, tables and display equations.;The contributors treat such subjects as: exact sum rules for inhomogenous fluids, explaining density functional and integral equation methods; exact solutions for two-dimensional homogeneous and inhomogeneous plasmas; current advances in the theory of interfacial electrochemistry; wetting experiments and the theory of wetting; freezing, with an emphasis on quantum systems and homogeneous nucleation in liquid-vapour and solid-liquid transitions; self-organizing liquids as well as kinetic phenomena in inhomogeneous fluids, using a modified Enskog theory.;Featuring over 1000 bibliographic citations, this volume is aimed at physical, surface, colloid and surfactant chemists; also physicists, electrochemists and graduate-level students in these disciplines.
Author: Olivia Woolley
Publisher: Bloomsbury Publishing
ISBN: 1509936483
Category : Law
Languages : en
Pages : 279
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Book Description
This is the first textbook to provide a clear understanding of law's role in promoting the global growth of renewable energy production and consumption. The book introduces readers to the main legal frameworks shaping the rise of renewables at international, regional and national levels, including those which set targets for reducing greenhouse gas emissions and increasing renewable energy consumption. Clear explanations of challenges commonly confronting renewable developments and the legal responses to them aid readers' understanding whatever their background. The author, a leading researcher in energy and environmental law, has drawn on 10 years' experience of developing and teaching research-led courses on renewable energy law to produce an authoritative but accessible work. Readers will come away with a better understanding of how international law on climate change and sustainable development affects renewable energy, the roles of renewable energy targets and subsidies, the laws on integrating renewables into electricity networks, the legal response to public opposition to renewable energy development, the law surrounding offshore renewables, and issues raised by the decarbonisation of road transport.
Author: United States. Congress. Senate. Foreign Relations
Publisher:
ISBN:
Category :
Languages : en
Pages : 360
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Book Description
