Rôle et impact de la volatilité dans le pricing d'options et de produits dérivés PDF Download

Author: Hayette Gatfaoui
Publisher: Editions Publibook
ISBN: 2748303881
Category :
Languages : fr
Pages : 58

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Publisher: Odile Jacob
ISBN: 2738182232
Category :
Languages : en
Pages : 223

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Category : National income
Languages : fr
Pages : 568

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Category : Economic history
Languages : en
Pages : 678

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Author: Benoit B. Mandelbrot
Publisher: Profile Books
ISBN: 1847651550
Category : Business & Economics
Languages : en
Pages : 352

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This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

Author: Huu Tue Huynh
Publisher: John Wiley & Sons
ISBN: 0470722134
Category : Business & Economics
Languages : en
Pages : 354

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Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.

Author: L. Cécille
Publisher: Springer Science & Business Media
ISBN: 9401197571
Category : Technology & Engineering
Languages : en
Pages : 189

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The purpose of the Seminar was to provide an international interdisciplinary forum for in-depth discussions on the pros and cons of a denitration step by chemical means in the course of solidification of MAW (medium active waste) and HAW (highly active waste), prior to feeding the calciner or melter. In particular, differences In the volatility of some components and aerosol formation during the vitrification step are of interest. Chemical rather than thermal denitration may have particular merits which could simplify off-gas purification. A reduction in the salt burden of waste solutions, leading to a reduction In the volume of solid waste, may also be achieved. The scientific programme of the Seminar consisted of invited lectures only, given by experts actively engaged in this field of research. The emphasis was on extensive discussions among the partiCipants, with the aim of leading to an objective understanding of the state-of-the-art. The meeting also indentified issues and options for future research.

Author: Elie Ayache
Publisher: John Wiley & Sons
ISBN: 0470725222
Category : Business & Economics
Languages : en
Pages : 501

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October 19th 1987 was a day of huge change for the global finance industry. On this day the stock market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find a model for this event, and ways to simulate it in order to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 - you cannot reduce it to a chain of causes and effects, or even to a random generator, that can then be reproduced or represented in a theoretical framework. The Blank Swan is Elie's highly original treatise on the financial markets presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb's The Black Swan, but criticises the whole background or framework of predictable and unpredictable events white and black swans alike , i.e. the very category of prediction. In this revolutionary book, Elie redefines the components of the technology needed to price and trade derivatives. Most importantly, and drawing on a long tradition of philosophy of the event from Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent brand of philosophy of contingency, embodied by the speculative materialism of Quentin Meillassoux, Elie redefines the market itself against the common perceptions of orthodox financial theory, general equilibrium theory and the sociology of finance. This book will change the way that we think about derivatives and approach the market. If anything, derivatives should be renamed contingent claims, where contingency is now absolute and no longer derivative, and the market is just its medium. The book also establishes the missing link between quantitative modelling (no longer dependent on probability theory but on a novel brand of mathematics which Elie calls the mathematics of price) and the reality of the market.

Author: Monica Billio
Publisher: Elsevier
ISBN: 0081011768
Category : Business & Economics
Languages : en
Pages : 302

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In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to "think and rethink the economic and financial system and to conceive it as an "ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. - Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations - Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions - Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system

Author: Jan Emblemsvåg
Publisher: BoD – Books on Demand
ISBN: 953510571X
Category : Business & Economics
Languages : en
Pages : 514

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A large part of academic literature, business literature as well as practices in real life are resting on the assumption that uncertainty and risk does not exist. We all know that this is not true, yet, a whole variety of methods, tools and practices are not attuned to the fact that the future is uncertain and that risks are all around us. However, despite risk management entering the agenda some decades ago, it has introduced risks on its own as illustrated by the financial crisis. Here is a book that goes beyond risk management as it is today and tries to discuss what needs to be improved further. The book also offers some cases.