Option Valuation with Systematic Stochastic Volatility PDF Download

Author: Kaushik I. Amin
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 46

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Book Description

Author: Kaushik I. Amin
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 42

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Book Description

Author: Alan L. Lewis
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 372

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Book Description

Author: Antonio Mele
Publisher: Springer Science & Business Media
ISBN: 1461545331
Category : Business & Economics
Languages : en
Pages : 156

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Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Author: Joshua Rosenberg
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 292

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Book Description

Author: Thomas S. Y. Ho
Publisher: Oxford University Press
ISBN: 9780199727704
Category : Business & Economics
Languages : en
Pages : 770

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Book Description
The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.

Author: Fahed Mostafa
Publisher: Springer
ISBN: 331951668X
Category : Technology & Engineering
Languages : en
Pages : 177

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Book Description
This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling. These features mean that they can be applied to market-risk problems to overcome classic problems associated with statistical models.

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

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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:
Publisher: Allied Publishers
ISBN: 9788177648416
Category :
Languages : en
Pages : 292

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Book Description

Author: Yaser S. Abu-Mostafa
Publisher: MIT Press
ISBN: 9780262511070
Category : Business & Economics
Languages : en
Pages : 744

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Book Description
This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.