Essays about Option Valuation Under Stochastic Interest Rates PDF Download

Author: Manuel Wittke
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: David Frederik Schrager
Publisher: Rozenberg Publishers
ISBN: 9051709455
Category :
Languages : en
Pages : 195

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Author: Rita Biswas
Publisher: Emerald Group Publishing
ISBN: 1789733898
Category : Business & Economics
Languages : en
Pages : 168

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This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.

Author: Robin James Brenner
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 508

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Author: Yoosoon Chang
Publisher: Emerald Group Publishing
ISBN: 1837532141
Category : Business & Economics
Languages : en
Pages : 382

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Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Author: Don M. Chance
Publisher: John Wiley & Sons
ISBN: 1118160649
Category : Business & Economics
Languages : en
Pages : 403

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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:
Publisher:
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Category : Dissertation abstracts
Languages : en
Pages : 776

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Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384

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This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Author: Nengjiu Ju
Publisher:
ISBN:
Category :
Languages : en
Pages : 218

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Author: Stylianos Perrakis
Publisher: Springer
ISBN: 3030115909
Category : Business & Economics
Languages : en
Pages : 294

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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.