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Author: Pavel Čižek Publisher: Springer Science & Business Media ISBN: 9783540221890 Category : Business & Economics Languages : en Pages : 534
Book Description
Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. Thenbsp;design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.
Author: Pavel Čižek Publisher: Springer Science & Business Media ISBN: 9783540221890 Category : Business & Economics Languages : en Pages : 534
Book Description
Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. Thenbsp;design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.
Author: Fabrice D. Rouah Publisher: John Wiley & Sons ISBN: 1118429206 Category : Business & Economics Languages : en Pages : 456
Book Description
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Author: Carsten Wehn Publisher: Academic Press ISBN: 0124158757 Category : Business & Economics Languages : en Pages : 658
Book Description
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
Author: Stylianos Perrakis Publisher: 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: Cheng-Few Lee Publisher: Springer ISBN: 3319388673 Category : Business & Economics Languages : en Pages : 1043
Book Description
This introductory textbook for business statistics teaches statistical analysis and research methods via business case studies and financial data using Excel, Minitab, and SAS. Every chapter in this textbook engages the reader with data of individual stock, stock indices, options, and futures. One studies and uses statistics to learn how to study, analyze, and understand a data set of particular interest. Some of the more popular statistical programs that have been developed to use statistical and computational methods to analyze data sets are SAS, SPSS, and Minitab. Of those, we look at Minitab and SAS in this textbook. One of the main reasons to use Minitab is that it is the easiest to use among the popular statistical programs. We look at SAS because it is the leading statistical package used in industry. We also utilize the much less costly and ubiquitous Microsoft Excel to do statistical analysis, as the benefits of Excel have become widely recognized in the academic world and its analytical capabilities extend to about 90 percent of statistical analysis done in the business world. We demonstrate much of our statistical analysis using Excel and double check the analysis and outcomes using Minitab and SAS—also helpful in some analytical methods not possible or practical to do in Excel.
Author: Tobias Herwig Publisher: Taylor & Francis ISBN: 9783540308379 Category : Business & Economics Languages : en Pages : 120
Book Description
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.
Author: G. S. Maddala Publisher: ISBN: Category : Business & Economics Languages : en Pages : 760
Book Description
A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Author: Fuliang Yin Publisher: Springer ISBN: 3540286489 Category : Computers Languages : en Pages : 1054
Book Description
This book constitutes the proceedings of the International Symposium on Neural N- works (ISNN 2004) held in Dalian, Liaoning, China duringAugust 19–21, 2004. ISNN 2004 received over 800 submissions from authors in ?ve continents (Asia, Europe, North America, South America, and Oceania), and 23 countries and regions (mainland China, Hong Kong, Taiwan, South Korea, Japan, Singapore, India, Iran, Israel, Turkey, Hungary, Poland, Germany, France, Belgium, Spain, UK, USA, Canada, Mexico, - nezuela, Chile, andAustralia). Based on reviews, the Program Committee selected 329 high-quality papers for presentation at ISNN 2004 and publication in the proceedings. The papers are organized into many topical sections under 11 major categories (theo- tical analysis; learning and optimization; support vector machines; blind source sepa- tion,independentcomponentanalysis,andprincipalcomponentanalysis;clusteringand classi?cation; robotics and control; telecommunications; signal, image and time series processing; detection, diagnostics, and computer security; biomedical applications; and other applications) covering the whole spectrum of the recent neural network research and development. In addition to the numerous contributed papers, ?ve distinguished scholars were invited to give plenary speeches at ISNN 2004. ISNN 2004 was an inaugural event. It brought together a few hundred researchers, educators,scientists,andpractitionerstothebeautifulcoastalcityDalianinnortheastern China. It provided an international forum for the participants to present new results, to discuss the state of the art, and to exchange information on emerging areas and future trends of neural network research. It also created a nice opportunity for the participants to meet colleagues and make friends who share similar research interests.
Author: Pavel Čižek
Author: Pavel Čižek
Author: Brice Dupoyet
Author: Fabrice D. Rouah
Author: 
Author: Carsten Wehn
Author: Stylianos Perrakis
Author: Cheng-Few Lee
Author: Tobias Herwig
Author: G. S. Maddala
Author: Fuliang Yin