Calculation Of Volatility In A Jump Diffusion Model
Download Calculation Of Volatility In A Jump Diffusion Model full books in PDF, epub, and Kindle. Read online free Calculation Of Volatility In A Jump Diffusion Model ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads.
Author |
: Javier F. Navas |
Publisher |
: |
Total Pages |
: 17 |
Release |
: 2007 |
ISBN-10 |
: OCLC:1291165285 |
ISBN-13 |
: |
Rating |
: 4/5 (85 Downloads) |
Synopsis Calculation of Volatility in a Jump-Diffusion Model by : Javier F. Navas
A common way to incorporate discontinuities in asset returns is to add a Poisson process to a Brownian motion. The jump-diffusion process provides probability distributions that typically fit market data better than those of the simple diffusion process. To compare the performance of these models in option pricing, the total volatility of the jump-diffusion process must be used in the Black-Scholes formula. A number of authors, including Merton (1976a amp; b), Ball and Torous (1985), Jorion (1988), and Amin (1993), miscalculate this volatility because they do not include the effect of uncertainty over the jump size. We calculate the volatility correctly and show how this affects option prices.
Author |
: Peter Tankov |
Publisher |
: CRC Press |
Total Pages |
: 552 |
Release |
: 2003-12-30 |
ISBN-10 |
: 9781135437947 |
ISBN-13 |
: 1135437947 |
Rating |
: 4/5 (47 Downloads) |
Synopsis Financial Modelling with Jump Processes by : Peter Tankov
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author |
: Elisa Alós |
Publisher |
: |
Total Pages |
: |
Release |
: 2008 |
ISBN-10 |
: OCLC:804793379 |
ISBN-13 |
: |
Rating |
: 4/5 (79 Downloads) |
Synopsis A Hull and White Formula for a General Stochastic Volatility Jump-diffusion Model with Applications to the Study of the Short-time Behavior of the Implied Volatility by : Elisa Alós
Author |
: Changhong He |
Publisher |
: |
Total Pages |
: 312 |
Release |
: 2005 |
ISBN-10 |
: CORNELL:31924102824426 |
ISBN-13 |
: |
Rating |
: 4/5 (26 Downloads) |
Synopsis Estimation of Volatilities Under a Merton's Jump-diffusion Model and an Uncertain Volatility Model by : Changhong He
Author |
: Bernt Øksendal |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 263 |
Release |
: 2007-04-26 |
ISBN-10 |
: 9783540698265 |
ISBN-13 |
: 3540698264 |
Rating |
: 4/5 (65 Downloads) |
Synopsis Applied Stochastic Control of Jump Diffusions by : Bernt Øksendal
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author |
: Cheng-Few Lee |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 861 |
Release |
: 2006-07-27 |
ISBN-10 |
: 9780387262840 |
ISBN-13 |
: 0387262849 |
Rating |
: 4/5 (40 Downloads) |
Synopsis Encyclopedia of Finance by : Cheng-Few Lee
This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author |
: Maria Semenova |
Publisher |
: |
Total Pages |
: 135 |
Release |
: 2006 |
ISBN-10 |
: OCLC:427984863 |
ISBN-13 |
: |
Rating |
: 4/5 (63 Downloads) |
Synopsis Estimation of Jump-diffusion Processes Via Empirical Characteristic Functions by : Maria Semenova
Author |
: John R. Birge |
Publisher |
: Elsevier |
Total Pages |
: 1026 |
Release |
: 2007-11-16 |
ISBN-10 |
: 0080553257 |
ISBN-13 |
: 9780080553252 |
Rating |
: 4/5 (57 Downloads) |
Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Author |
: Desmond J. Higham |
Publisher |
: Cambridge University Press |
Total Pages |
: 300 |
Release |
: 2004-04-15 |
ISBN-10 |
: 9781139457897 |
ISBN-13 |
: 1139457896 |
Rating |
: 4/5 (97 Downloads) |
Synopsis An Introduction to Financial Option Valuation by : Desmond J. Higham
This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black–Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.
Author |
: Alexey Medvedev |
Publisher |
: |
Total Pages |
: 37 |
Release |
: 2006 |
ISBN-10 |
: OCLC:716913610 |
ISBN-13 |
: |
Rating |
: 4/5 (10 Downloads) |
Synopsis Approximation and Calibration of Short-term Implied Volatilities Under Jump-diffusion Stochastic Volatility by : Alexey Medvedev