Author: Yuri KabanovPublisher: Springer Science & Business Media
ISBN: 3540681213
Category : Business & Economics
Languages : en
Pages : 306
Book Description
The book is the first monograph on this highly important subject.
Markets with Transaction Costs
Author: Yuri KabanovPublisher: Springer Science & Business Media
ISBN: 3540681213
Category : Business & Economics
Languages : en
Pages : 306
Book Description
The book is the first monograph on this highly important subject.
Weak Convergence of Financial Markets
Author: Jean-Luc PrigentPublisher: Springer Science & Business Media
ISBN: 3540248315
Category : Business & Economics
Languages : en
Pages : 432
Book Description
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
Three Essays in Asset Pricing Theory
Author: Lionel MartelliniLiquidity and Asset Prices
Author: Yakov AmihudPublisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
The Journal of Derivatives
Author: Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 250
Book Description
Costly Investment Decisions and Portfolio Optimization
Author: Barbara A. BukhvalovaPublisher:
ISBN:
Category :
Languages : en
Pages : 402
Book Description
Lectures on the Mathematics of Finance
Author: Ioannis KaratzasPublisher: American Mathematical Soc.
ISBN: 0821809091
Category : Business & Economics
Languages : en
Pages : 163
Book Description
In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.
Stochastic Dominance Option Pricing
Author: Stylianos PerrakisPublisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 294
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: Bernard Dumas
Author: