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Author: George M. Constantinides
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 64
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Book Description
Author: George M. Constantinides
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 64
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Book Description
Author: George M. Constantinides
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
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Book Description
Author: Marco Avellaneda
Publisher: World Scientific
ISBN: 9814495212
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Author: Martino Bardi
Publisher: Springer
ISBN: 3540690433
Category : Mathematics
Languages : en
Pages : 268
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Book Description
The volume comprises five extended surveys on the recent theory of viscosity solutions of fully nonlinear partial differential equations, and some of its most relevant applications to optimal control theory for deterministic and stochastic systems, front propagation, geometric motions and mathematical finance. The volume forms a state-of-the-art reference on the subject of viscosity solutions, and the authors are among the most prominent specialists. Potential readers are researchers in nonlinear PDE's, systems theory, stochastic processes.
Author: Stylianos Perrakis
Publisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 277
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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: Bruno Bouchard
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
Author: Ioannis Karatzas
Publisher: Springer
ISBN: 1493968459
Category : Mathematics
Languages : en
Pages : 426
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Book Description
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Author: Erling D. Andersen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Author: Roberto Baviera
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
We provide closed formulas for European call option ask and bid prices in presence of transaction costs. Underlying prices have the same dynamics of Black-Scholes model and a bid-ask spread proportional to bid price. We suppose that a market maker has to quote a bid and ask price for an option in a perfect competition market. Under these conditions derivative prices are obtained imposing the No Almost Sure Arbitrage Principle: the market maker fixes bid (ask) price as the highest buying (lowest selling) price that can accepted by an investor who maximizes the growth rate of his portfolio.
Author: D. Kannan
Publisher: CRC Press
ISBN: 1482294702
Category : Mathematics
Languages : en
Pages : 808
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Book Description
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
