### Derivative Securities and Difference Methods

Author: You-lan Zhu,Xiaonan Wu,I-Liang Chern,Zhi-zhong Sun

Publisher: Springer Science & Business Media

ISBN: 1461473063

Category: Mathematics

Page: 647

View: 3847

This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems. In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods in financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: “...the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS

### Optionen, Futures und andere Derivate

Author: John Hull

Publisher: Pearson Deutschland GmbH

ISBN: 9783827372819

Category:

Page: 990

View: 3159

### Implementing Models in Quantitative Finance: Methods and Cases

Author: Gianluca Fusai,Andrea Roncoroni

Publisher: Springer Science & Business Media

ISBN: 9783540499596

Page: 607

View: 5663

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

### The Valuation of Interest Rate Derivative Securities

Author: Jeroen F. J. De Munnik

Publisher: Routledge

ISBN: 1134775911

Page: 200

View: 5773

First published in 1996. Routledge is an imprint of Taylor & Francis, an informa company.

### Numerical Methods in Finance with C++

Author: Maciej J. Capiński,Tomasz Zastawniak

Publisher: Cambridge University Press

ISBN: 1139536273

Page: N.A

View: 965

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

### Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

Author: Christophe Profeta,Bernard Roynette,Marc Yor

Publisher: Springer Science & Business Media

ISBN: 9783642103957

Category: Mathematics

Page: 270

View: 4350

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

### Options, Futures, and Other Derivative Securities

Author: John Hull

Publisher: Englewood Cliffs, N.J. : Prentice Hall

ISBN: N.A

Category: Derivative securities

Page: 492

View: 3404

Covers forward contracts, futures, contracts, options, swaps, and other non-standard derivative securities, and looks at mathematical models of stock price behavior.

### A Course in Derivative Securities

Introduction to Theory and Computation

Author: Kerry Back

Publisher: Springer Science & Business Media

ISBN: 3540279008

Page: 356

View: 8222

"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS

### The Econometrics of Financial Markets

Author: John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay

Publisher: Princeton University Press

ISBN: 1400830214

Page: 632

View: 5514

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

### Quantitative Methods in Derivatives Pricing

An Introduction to Computational Finance

Author: Domingo Tavella

Publisher: John Wiley & Sons

ISBN: 9780471274797

Page: 304

View: 2260

This book presents a cogent description of the main methodologiesused in derivatives pricing. Starting with a summary of theelements of Stochastic Calculus, Quantitative Methods inDerivatives Pricing develops the fundamental tools of financialengineering, such as scenario generation, simulation for Europeaninstruments, simulation for American instruments, and finitedifferences in an intuitive and practical manner, with an abundanceof practical examples and case studies. Intended primarily as anintroductory graduate textbook in computational finance, this bookwill also serve as a reference for practitioners seeking basicinformation on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, aconsulting firm in risk management and financial systems design. Heis the founder and chief editor of the Journal of ComputationalFinance and has pioneered the application of advanced numericaltechniques in pricing and risk analysis in the financial andinsurance industries. Tavella coauthored Pricing FinancialInstruments: The Finite Difference Method. He holds a PhD inaeronautical engineering from Stanford University and an MBA infinance from the University of California at Berkeley.

### Pricing Derivative Securities

Author: T. W. Epps

Publisher: World Scientific

ISBN: 9812700331

Page: 627

View: 4292

This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.

### Mathematical Reviews

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Mathematics

Page: N.A

View: 8983

### Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

ISBN: 047168189X

Page: 840

View: 5085

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

### Risk Management, Speculation, and Derivative Securities

Author: Geoffrey Poitras

ISBN: 9780125588225

Page: 601

View: 7582

Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.

### Continuous-time methods in finance

a review and an assessment

Author: Suresh M. Sundaresan

Publisher: N.A

ISBN: N.A

Category: Derivative securities

Page: 101

View: 2248

### Martingale Methods in Financial Modelling

Author: Marek Musiela,Marek Rutkowski

Publisher: Springer Verlag

ISBN: 9783540614777

Page: 512

View: 4399

This is a comprehensive treatment of the theory and practice of option pricing. Mathematical and financial language is used to bring mathematicians closer to practical problems of finance and to present useful mathematical tools to the industry. The work emphasizes the use of arbitrage-free models already accepted by the market.

### The World of Risk Management

Author: H. Gifford Fong

Publisher: World Scientific

ISBN: 9812565175

Page: 218

View: 7997

Risk management is a foundation discipline for the prudent conduct of investment management. Being effective requires ongoing evolution and adaptation. In The World of Risk Management, an expert team of contributors addresses the important issues arising in the practice of risk management. A common thread among these distinguished articles is a rigorous theoretical or conceptual basis as well as their practical significance. The topics include not only broad policy considerations but also detailed how-to prescriptions.

### Implementing Derivative Models

Author: Les Clewlow

Publisher: John Wiley & Sons

ISBN: N.A

Page: 309

View: 4788

Implementing Derivatives Models Les Clewlow and Chris Strickland Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale, However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial institutions and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models, including * The Binomial Method * Trinomial Trees and Finite Difference Methods * Monte Carlo Simulation * Implied Trees and Exotic Options * Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives * Term Structure Consistent Short Rate Models * The Heath, Jarrow and Morton Model Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Finance/Investment

### Financial Markets

Publisher: SAGE Publications Limited

ISBN: N.A

Page: 1656

View: 2883

This landmark work illustrates the progress that has been made in financial markets and assesses innovations that provide solutions to dilemmas and increase efficiency. These articles break down the complex web of relationships between the financial intermediary, the managers of corporations, shareholders, creditors, analysts and regulators. If complete information was disseminated to all participants, and all participants were ethical and competent, there would be less need for research on financial markets. Given the numerous conflicts of interest, the research included in these volumes attacks existing problems in financial markets in search of a solution. The research also identifies problems that have gone unnoticed. Research on financial markets identifies more problems in financial markets than it solves. Nevertheless, the research findings can help one use financial markets to one's advantage, rather than be used by them. This new edition to the SAGE Library in Business and Management discloses relevant research about the environment and behaviour within each of several financial markets so that participants can make informed decisions. It also hints at some of the unresolved issues in financial markets that are likely to receive more attention in future financial research.