Local Volatility Function Models Under A Benchmark Approach
Download Local Volatility Function Models Under A Benchmark Approach full books in PDF, epub, and Kindle. Read online free Local Volatility Function Models Under A Benchmark Approach ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : David Heath |
Publisher | : |
Total Pages | : 19 |
Release | : 2004 |
Genre | : Stock price indexes |
ISBN | : |
Download Local Volatility Function Models Under a Benchmark Approach Book in PDF, Epub and Kindle
Author | : Andrey Itkin |
Publisher | : World Scientific |
Total Pages | : 205 |
Release | : 2020-01-22 |
Genre | : Business & Economics |
ISBN | : 9811212783 |
Download Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models Book in PDF, Epub and Kindle
The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data.This book was written with the purpose of presenting new results previously developed in a series of papers and explaining them consistently, starting from the general concept of Dupire, Derman and Kani and then concentrating on various extensions proposed by the author and his co-authors. This volume collects all the results in one place, and provides some typical examples of the problems that can be efficiently solved using the proposed methods. This also results in a faster calibration of the local and implied volatility surfaces as compared to standard approaches.The methods and solutions presented in this volume are new and recently published, and are accompanied by various additional comments and considerations. Since from the mathematical point of view, the level of details is closer to the applied rather than to the abstract or pure theoretical mathematics, the book could also be recommended to graduate students with majors in computational or quantitative finance, financial engineering or even applied mathematics. In particular, the author used to teach some topics of this book as a part of his special course on computational finance at the Tandon School of Engineering, New York University.
Author | : Eckhard Platen |
Publisher | : Springer Science & Business Media |
Total Pages | : 704 |
Release | : 2006-10-28 |
Genre | : Business & Economics |
ISBN | : 3540478566 |
Download A Benchmark Approach to Quantitative Finance Book in PDF, Epub and Kindle
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
Author | : Andrey Itkin |
Publisher | : |
Total Pages | : 205 |
Release | : 2020 |
Genre | : Finance |
ISBN | : 9789811212772 |
Download Fitting Local Volatility Book in PDF, Epub and Kindle
Author | : Konstantinos Skindilias |
Publisher | : |
Total Pages | : 20 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Local Volatility Calibration During Turbulent Periods Book in PDF, Epub and Kindle
We propose a methodology to calibrate the local volatility function under a continuous time setting. For this purpose, we used the Markov chain approximation method built on the well-established idea of local consistency. The chain was designed to approximate jump-diffusions coupled with a local volatility function. We found that this method outperforms traditional numerical algorithms that require time discretization. Furthermore, we showed that a local volatility jump-diffusion model outperformed the in- and out-of-sample pricing that the market practitioners benchmark, namely the Practitioners Black-Scholes, in turbulent periods during which at-the-money implied volatilities have risen substantially. As in previous literature concerning local volatility estimation, we represent the local volatility function using a space-time cubic spline.
Author | : Matthias R. Fengler |
Publisher | : Springer Science & Business Media |
Total Pages | : 232 |
Release | : 2005-12-19 |
Genre | : Business & Economics |
ISBN | : 3540305912 |
Download Semiparametric Modeling of Implied Volatility Book in PDF, Epub and Kindle
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Author | : Changhong He |
Publisher | : |
Total Pages | : 312 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Estimation of Volatilities Under a Merton's Jump-diffusion Model and an Uncertain Volatility Model Book in PDF, Epub and Kindle
Author | : Cheng F. Lee |
Publisher | : Center for PBBEFR & Airiti Press |
Total Pages | : |
Release | : 2012-04-01 |
Genre | : Business & Economics |
ISBN | : 9866286215 |
Download Advances in Investment Analysis and Portfolio Management (New Series) Vol.5 Book in PDF, Epub and Kindle
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
Author | : Marco Avellaneda |
Publisher | : World Scientific |
Total Pages | : 372 |
Release | : 1999 |
Genre | : Mathematics |
ISBN | : 9789810246938 |
Download Quantitative Analysis in Financial Markets Book in PDF, Epub and Kindle
Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.
Author | : Sebastien Bossu |
Publisher | : John Wiley & Sons |
Total Pages | : 180 |
Release | : 2014-05-19 |
Genre | : Business & Economics |
ISBN | : 1118750969 |
Download Advanced Equity Derivatives Book in PDF, Epub and Kindle
In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.