Author: Alan L. LewisPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 372
Book Description
Option Valuation Under Stochastic Volatility
Author: Alan L. LewisPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 372
Book Description
Option Valuation Under Stochastic Volatility II
Author: Alan L. LewisPublisher:
ISBN: 9780967637211
Category :
Languages : en
Pages : 748
Book Description
This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Option Valuation Under Stochastic Volatility
Author: Robert Dent ReevesDerivatives in Financial Markets with Stochastic Volatility
Author: Jean-Pierre FouquePublisher: Cambridge University Press
ISBN: 9780521791632
Category : Business & Economics
Languages : en
Pages : 222
Book Description
This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Long Range Stochastic Volatility with Two Scales in Option Pricing
Author: Li KongPublisher:
ISBN: 9781124685823
Category :
Languages : en
Pages : 79
Book Description
We exploit a general framework, a martingale approach method, to estimate the derivative price for different stochastic volatility models. This method is a very useful tool for handling non-markovian volatility models. With this method, we get the order of the approximation error by evaluating the orders of three error correction terms. We also summarize some challenges in using the martingale approach method to evaluate the derivative prices. We propose two stochastic volatility models. Our goal is to get the analytical solution for the derivative prices implied by the models. Another goal is to obtain an explicit model for the implied volatility and in particular how it depends on time to maturity. The first model we propose involves the increments of a standard Brownian Motion for a short time increment. The second model involves fractional Brownian Motion(fBm) and two scales. By using fBm in our model, we naturally incorporate a long-range dependence feature of the volatility process. In addition, the implied volatility corresponding to our second model capture a feature of the volatility as observed in the paper Maturity cycles in implied volatility by Fouque, which analyzed the S & P 500 option price data and observed that for long dated options the implied volatility is approximately affine in the reciprocal of time to maturity, while for short dated options the implied volatility is approximately affine in the reciprocal of square root of time to maturity. The leading term in the implied volatility also matches the case when we have time-dependent volatility in the Black-Scholes equation.
Option Hedging and Valuation Under Stochastic Volatility
Author: Joshua RosenbergPublisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 292
Book Description
Option Pricing Under Stochastic Volatility
Author: Dimitrios GkamasOption Pricing Models and Volatility Using Excel-VBA
Author: Fabrice D. RouahPublisher: 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
Stochastic Volatility Modeling
Author: Lorenzo BergomiPublisher: CRC Press
ISBN: 1482244071
Category : Business & Economics
Languages : en
Pages : 520
Book Description
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author: Hak Min Lim