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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: Yue Kuen Kwok
Publisher: CRC Press
ISBN: 1000584259
Category : Business & Economics
Languages : en
Pages : 283
Get Book Here
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: Stylianos Perrakis
Publisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 294
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Book Description
This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Author: Neil Shephard
Publisher: Oxford University Press, USA
ISBN: 0199257205
Category : Business & Economics
Languages : en
Pages : 534
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Book Description
Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080494978
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field.This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters
Author: G. Constantinides
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
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Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author: Claus Munk
Publisher: Oxford University Press, USA
ISBN: 0199585490
Category : Business & Economics
Languages : en
Pages : 598
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Book Description
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Author: Yves Hilpisch
Publisher: John Wiley & Sons
ISBN: 111903793X
Category : Business & Economics
Languages : en
Pages : 376
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Book Description
Supercharge options analytics and hedging using the power ofPython Derivatives Analytics with Python shows you how toimplement market-consistent valuation and hedging approaches usingadvanced financial models, efficient numerical techniques, and thepowerful capabilities of the Python programming language. Thisunique guide offers detailed explanations of all theory, methods,and processes, giving you the background and tools necessary tovalue stock index options from a sound foundation. You'll find anduse self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as youbenefit from the 5,000+ lines of code that are provided to help youreproduce the results and graphics presented. Coverage includesmarket data analysis, risk-neutral valuation, Monte Carlosimulation, model calibration, valuation, and dynamic hedging, withmodels that exhibit stochastic volatility, jump components,stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution andautomation. Python is gaining ground in the derivatives analytics space,allowing institutions to quickly and efficiently deliver portfolio,trading, and risk management results. This book is the financeprofessional's guide to exploiting Python's capabilities forefficient and performing derivatives analytics. Reproduce major stylized facts of equity and options marketsyourself Apply Fourier transform techniques and advanced Monte Carlopricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamicallyhedge options Recent developments in the Python ecosystem enable analysts toimplement analytics tasks as performing as with C or C++, but usingonly about one-tenth of the code or even less. DerivativesAnalytics with Python — Data Analysis, Models, Simulation,Calibration and Hedging shows you what you need to know tosupercharge your derivatives and risk analytics efforts.
Author: Rama Cont
Publisher: John Wiley & Sons
ISBN: 0470456809
Category : Business & Economics
Languages : en
Pages : 312
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Book Description
The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.
Author: Andrey Itkin
Publisher: Birkhäuser
ISBN: 1493967924
Category : Mathematics
Languages : en
Pages : 318
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Book Description
This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the theory of finite-difference schemes, is new as applied to the Lévy processes in finance, and is herein presented for the first time in a single volume. The results within, developed in a series of research papers, are collected and arranged together with the necessary background material from Lévy processes, the modern theory of finite-difference schemes, the theory of M-matrices and EM-matrices, etc., thus forming a self-contained work that gives the reader a smooth introduction to the subject. For readers with no knowledge of finance, a short explanation of the main financial terms and notions used in the book is given in the glossary. The latter part of the book demonstrates the efficacy of the method by solving some typical problems encountered in computational finance, including structural default models with jumps, and local stochastic volatility models with stochastic interest rates and jumps. The author also adds extra complexity to the traditional statements of these problems by taking into account jumps in each stochastic component while all jumps are fully correlated, and shows how this setting can be efficiently addressed within the framework of the new method. Written for non-mathematicians, this book will appeal to financial engineers and analysts, econophysicists, and researchers in applied numerical analysis. It can also be used as an advance course on modern finite-difference methods or computational finance.
Author: Jian Chen
Publisher: Springer
ISBN: 9811074283
Category : Business & Economics
Languages : en
Pages : 163
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Book Description
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
