Essays on Derivatives Pricing in Incomplete Financial Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays on Derivatives Pricing in Incomplete Financial Markets PDF full book. Access full book title Essays on Derivatives Pricing in Incomplete Financial Markets by Qimou Su. Download full books in PDF and EPUB format.
Author: Qimou Su
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 362
Get Book Here
Book Description
Not available.
Author: Qimou Su
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 362
Get Book Here
Book Description
Not available.
Author: Johannes Gerer
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ronald C. Heynen
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 228
Get Book Here
Book Description
Author: Ali Boloorforoosh
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Jean-Pierre Fouque
Publisher: Cambridge University Press
ISBN: 9780521791632
Category : Business & Economics
Languages : en
Pages : 222
Get Book Here
Book Description
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Author: Don M. Chance
Publisher: Wiley
ISBN: 0470283092
Category : Business & Economics
Languages : en
Pages : 384
Get Book Here
Book Description
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Author: Marko Petrov
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
"In the first part, by using convexity, we employ a fast algorithm to obtain upper and lower price bounds for a classical (univariate) European option written on a discrete-dividend-paying Black-Scholes asset in closed form, and show that those bounds converge to the true option price. The errors introduced decrease with the square of the discretisation step used and scale with the option's gamma. Extension to price bounds for a bivariate European call-on-the-maximum of two underlying assets is presented. Prices of other bivariate European options can then be found through put-call/min-max parity relations. The second part derives the future Expected Exposure expressions for several Inflation-Indexed-Swaps under a stochastic model for inflation, used to find a closed-form solution for the Credit Value Adjustment (CVA). The CVA of a Zero-Coupon-Inflation-Indexed-Swap is obtained analytically. For a Year-on-Year-Inflation-Indexed-Swap and for a portfolio of Zero-Coupon-Inflation-Indexed-Swaps, semi-analytical solutions based on moment-matching-approximations are derived. Extensive tests using Monte Carlo simulations show that the formulas provide very fast and accurate methods. Third part shows how equilibrium bid-ask spread for European derivatives arises in dry markets (the underlying asset may not be traded at all points in time, generating market incompleteness), even under symmetric information and absence of transaction costs. In a one period model, for monopolistic risk-neutral market-makers we fully characterise the bid-ask spread within the no-arbitrage bounds, whereas for oligopolistic risk-neutral market-makers, we prove that there is no pure symmetric Nash equilibrium of the game and that a bid-ask spread can only exist under a mixed strategy equilibrium."--Samenvatting auteur.
Author: Nengjiu Ju
Publisher:
ISBN:
Category :
Languages : en
Pages : 218
Get Book Here
Book Description
Author: Nigel J. Cutland
Publisher: Springer Science & Business Media
ISBN: 1447144082
Category : Mathematics
Languages : en
Pages : 329
Get Book Here
Book Description
This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.
Author: Xiaofei Zhao
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
