Portfolio Management and Derivative Security Pricing in Markets with Stochastic Volatility PDF Download

Author: Mohsen Mazaheri
Publisher:
ISBN:
Category :
Languages : en
Pages : 156

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Author: Antoine Petrus Cornelius van der Ploeg
Publisher: Rozenberg Publishers
ISBN: 9051705778
Category :
Languages : en
Pages : 358

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Book Description

Author: Carl Chiarella
Publisher: Springer
ISBN: 366245906X
Category : Business & Economics
Languages : en
Pages : 616

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Book Description
The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field.

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: Cheng Few Lee
Publisher: World Scientific Publishing Company
ISBN: 9814458902
Category : Business & Economics
Languages : en
Pages : 1190

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Book Description
Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.

Author: Dimitris Bertsimas
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic portfolio strategy involving only the underlying securities that most closely" approximates the payoff function at maturity. By applying stochastic dynamic programming to the minimization of a" mean-squared-error loss function under Markov state-dynamics, we derive recursive expressions for the optimal-replication strategy that are readily implemented in practice. The approximation error or " " of the optimal-replication strategy is also given recursively and may be used to quantify the "degree" of market incompleteness. " To investigate the practical significance of these -arbitrage strategies examples including path-dependent options and options on assets with stochastic volatility and jumps. "

Author: Marcus Overhaus
Publisher: John Wiley & Sons
ISBN: 1118160878
Category : Business & Economics
Languages : en
Pages : 172

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Book Description
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.

Author: Nina Nayan Hiralal
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 0

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Book Description

Author: Arnon Levy
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
We construct a sequence of trinomial trees in which an asset's price becomes lognormally distributed with given drift mu and a volatility between given sigma_min and sigma_max as the time between trades approaches zero. In this simple model of an incomplete market, we show that, as the time between trading approaches zero, the bid or ask prices of a derivative security are given by the solution of a non-linear PDE, which we call the Black-Scholes-Barenblatt equation. In this equation, the input volatility is quot;dynamicallyquot; selected from the two values sigma_min, sigma_max, according to the sign of the second-order price derivative of the value function. This approach gives a new way of pricing derivative securities in markets with uncertain volatilities. It can be shown that any stochastic volatility process that stays between sigma_min and sigma_max, will give rise to a price between the bid and ask prices.

Author: Geoffrey Poitras
Publisher: Elsevier
ISBN: 0080480756
Category : Business & Economics
Languages : en
Pages : 622

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Book Description
Its unified treatment of derivative security applications to both risk management and speculative trading separates this book from others. Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, Risk Management, Speculation, and Derivative Securities is the only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives. After offering a general framework for risk management and speculation using derivative securities, it explores specific applications to forward contracts and options. Not intended as a comprehensive introduction to derivative securities, Risk Management, Speculation, and Derivative Securities is the innovative, useful approach that addresses new developments in derivatives and risk management. *The only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives*Examines speculative trading and risk management from the practitioner's point of view*Provides an innovative, useful approach that addresses new developments in derivatives and risk management