Efficient Optimization Algorithms For Pricing Energy Derivatives And Standard Vanilla Options
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| Author | : Valeriy V. Ryabchenko |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Efficient Optimization Algorithms for Pricing Energy Derivatives and Standard Vanilla Options Book in PDF, Epub and Kindle
Our second study considered a regression approach to pricing European options in an incomplete market. The algorithm replicates an option by a portfolio consisting of the underlying security and a risk-free bond. We apply linear regression framework and quadratic programming with linear constraints (input = sample paths of underlying security; output = table of option prices as a function of time and price of the underlying security). We populate the model with historical prices of the underlying security (possibly massaged to the present volatility) or with Monte Carlo simulated prices. Risk neutral processes or probabilities are not needed in this framework.
| Author | : Roger Lord |
| Publisher | : Rozenberg Publishers |
| Total Pages | : 211 |
| Release | : 2008 |
| Genre | : |
| ISBN | : 9051709099 |
Download Efficient pricing algorithms for exotic derivatives Book in PDF, Epub and Kindle
| Author | : Anders B. Trolle |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Efficient Pricing of Energy Derivatives Book in PDF, Epub and Kindle
I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fast and accurate Fourier-based pricing formula for European-style options on futures contracts, enabling efficient calibration to liquid plain-vanilla exchange-traded derivatives, and iii) the evolution of the futures curve being described in terms of a low-dimensional affine state vector, making the model ideally suited for pricing complex energy derivatives and real options by simulation. I also consider an extension of the framework that takes jumps in spot prices into account.
| Author | : Yves Achdou |
| Publisher | : SIAM |
| Total Pages | : 315 |
| Release | : 2005-01-01 |
| Genre | : Technology & Engineering |
| ISBN | : 9780898717495 |
Download Computational Methods for Option Pricing Book in PDF, Epub and Kindle
The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.
| Author | : George Levy |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 344 |
| Release | : 2018-12-10 |
| Genre | : Computers |
| ISBN | : 178743527X |
Download Energy Power Risk Book in PDF, Epub and Kindle
The book describes both mathematical and computational tools for energy and power risk management, deriving from first principles stochastic models for simulating commodity risk and how to design robust C++ to implement these models.
| Author | : Samuel Palmer |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Evolutionary Algorithms and Computational Methods for Derivatives Pricing Book in PDF, Epub and Kindle
| Author | : Les Clewlow |
| Publisher | : Twayne Publishers |
| Total Pages | : 246 |
| Release | : 2000 |
| Genre | : Derivative securities |
| ISBN | : 9780953889600 |
Download Energy Derivatives Book in PDF, Epub and Kindle
| Author | : Stefano M. Iacus |
| Publisher | : John Wiley & Sons |
| Total Pages | : 402 |
| Release | : 2011-02-23 |
| Genre | : Business & Economics |
| ISBN | : 1119990203 |
Download Option Pricing and Estimation of Financial Models with R Book in PDF, Epub and Kindle
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
| Author | : Craig Pirrong |
| Publisher | : Cambridge University Press |
| Total Pages | : 238 |
| Release | : 2011-10-31 |
| Genre | : Business & Economics |
| ISBN | : 1139501976 |
Download Commodity Price Dynamics Book in PDF, Epub and Kindle
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
| Author | : Alexander Eydeland |
| Publisher | : John Wiley & Sons |
| Total Pages | : 506 |
| Release | : 2003-02-03 |
| Genre | : Business & Economics |
| ISBN | : 0471455873 |
Download Energy and Power Risk Management Book in PDF, Epub and Kindle
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
