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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: Stylianos Perrakis
Publisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 294
Get Book Here
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: Yue-Kuen Kwok
Publisher: Springer Science & Business Media
ISBN: 3540686886
Category : Mathematics
Languages : en
Pages : 541
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Book Description
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Author:
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 1174
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Book Description
Author: Chris Kelliher
Publisher: CRC Press
ISBN: 100058237X
Category : Mathematics
Languages : en
Pages : 801
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Book Description
Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.
Author: Leonard Yates
Publisher: John Wiley & Sons
ISBN: 0471464902
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide. First he provides readers with a solid foundation to trading options, including an introduction to basic options terminology, a thorough explanation on how options are traded, and specific trading strategies. Accompanied by the OptionVue Educational website, this hands-on guide to the options market is a thorough and essential resource for any trader looking to increase his or her practical knowledge of options.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Howard L. Simons
Publisher: John Wiley & Sons
ISBN: 9780471320517
Category : Business & Economics
Languages : en
Pages : 296
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Book Description
An indispensable resource for experienced and novice options traders and hedgers alike Dynamic Option Selection System "Howard Simons offers an in-depth look at options and risk management for the serious market participant. He uses his extensive experience as a trader and trading systems designer to provide ten basic principles that are at the foundation of every successful trading methodology." -Leo Melamed, Chairman Emeritus and Senior Policy Advisor, Chicago Mercantile Exchange; Chairman and CEO, Sakura Dellsher, Inc. "Howard Simons's engaging, colloquial manner makes The Dynamic Option Selection System: Analyzing Markets and Managing Risk an enjoyable read for even the most accomplished professional hedger. His ample use of real-life stories, like parables, illustrate the nuances of trading and the complex and opposing interests of buyers and sellers in the marketplace." -Jack Wing, Executive Director and Professor, Center for Law and Financial Markets, Illinois Institute of Technology "It is the risk of potential reward that motivates many traders in today's markets. Employing Howard's ten simple principles allows us to 'put ourselves in the position where the accidents will work in our favor' so that we can remain 'In the Game'." -Bennett J. Corn, President and CEO, Winnipeg Commodity Exchange; Former President, Coffee, Sugar & Cocoa Exchange, Inc.
Author: Manuel Ammann
Publisher: Springer Science & Business Media
ISBN: 3662223309
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.
Author: John Hull
Publisher: Pearson Higher Education AU
ISBN: 1486013686
Category : Business & Economics
Languages : en
Pages : 577
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Book Description
This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.
Author: Claus Munk
Publisher: Oxford University Press
ISBN: 0199575088
Category : Business & Economics
Languages : en
Pages : 573
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Book Description
A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
