A Dynamic Programming Approach to the Valuation of Warrants PDF Download

Author: Houng-Yhi Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 248

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Author:
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ISBN:
Category : Finance
Languages : en
Pages : 892

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Publishes across all the major fields of financial research. The most widely cited academic journal on finance and one of the most widely cited journals in economics as well.

Author: Thomas S. Knudsen
Publisher:
ISBN:
Category :
Languages : en
Pages :

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We consider a general model for an investment producing a single commodity, and, assuming that there exists a traded asset spanning the corresponding market, we prove a quot;verification theoremquot; which relates the solution of an appropriate differential equation with the investment's contingent claim price. In this way, we show in a mathematically rigorous way that the contingent claim approach and the dynamic programming approach to the problem of asset valuation are equivalent, modulo parameter calibration. Our analysis can be used in a straightforward way to address a big number of investment models.

Author: E. Bruce Fredrikson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 804

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Author: Lane Hughston
Publisher:
ISBN: 9781899332663
Category : Business & Economics
Languages : en
Pages : 408

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A comprehensive and enlightening journey through the past, present and future of option pricing.

Author:
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Category : Library science
Languages : en
Pages : 412

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Category : Union catalogs
Languages : en
Pages : 640

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Includes entries for maps and atlases.

Author: Pierre Bernhard
Publisher: Springer Science & Business Media
ISBN: 0817683887
Category : Mathematics
Languages : en
Pages : 348

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Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods. Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including: · probability-free Black-Scholes theory; · fair-price interval of an option; · representation formulas and fast algorithms for option pricing; · rainbow options; · tychastic approach of mathematical finance based upon viability theory. This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background.

Author:
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Category : Economics
Languages : en
Pages : 1106

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Includes annual List of doctoral dissertations in political economy in progress in American universities and colleges; and the Hand book of the American Economic Association.

Author: Frank Morrison Tiernan
Publisher:
ISBN:
Category :
Languages : en
Pages : 188

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