A Benchmark Approach to Quantitative Finance PDF Download

Author: Eckhard Platen
Publisher: Springer Science & Business Media
ISBN: 3540478566
Category : Business & Economics
Languages : en
Pages : 704

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Book Description
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

Author: Cheng F. Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9866286215
Category : Business & Economics
Languages : en
Pages :

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Book Description
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.

Author: Matthias R. Fengler
Publisher: Springer Science & Business Media
ISBN: 3540305912
Category : Business & Economics
Languages : en
Pages : 232

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Book Description
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.

Author: Sebastien Bossu
Publisher: John Wiley & Sons
ISBN: 1118750969
Category : Business & Economics
Languages : en
Pages : 180

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Book Description
In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

Author: Marco Avellaneda
Publisher: World Scientific
ISBN: 9789810246938
Category : Mathematics
Languages : en
Pages : 372

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Book Description
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.

Author: Curtis R. Vogel
Publisher: SIAM
ISBN: 0898717574
Category : Mathematics
Languages : en
Pages : 195

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Book Description
Provides a basic understanding of both the underlying mathematics and the computational methods used to solve inverse problems.

Author: Ali Hirsa
Publisher: CRC Press
ISBN: 1498778615
Category : Business & Economics
Languages : en
Pages : 644

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Book Description
Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.

Author: Robert Buff
Publisher: Springer Science & Business Media
ISBN: 3642563236
Category : Mathematics
Languages : en
Pages : 246

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Book Description
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.

Author: Julien Guyon
Publisher: CRC Press
ISBN: 1466570342
Category : Business & Economics
Languages : en
Pages : 480

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Book Description
New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi

Author: Lishang Jiang
Publisher: World Scientific
ISBN: 9812563695
Category : Science
Languages : en
Pages : 344

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Book Description
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.