Estimation Of Volatilities Under A Mertons Jump Diffusion Model And An Uncertain Volatility Model
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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 |
: 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 |
: Robert Buff |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 260 |
Release |
: 2002-04-10 |
ISBN-10 |
: 3540426574 |
ISBN-13 |
: 9783540426578 |
Rating |
: 4/5 (74 Downloads) |
Synopsis Uncertain Volatility Models by : Robert Buff
This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.
Author |
: Jiří Witzany |
Publisher |
: |
Total Pages |
: |
Release |
: 2011 |
ISBN-10 |
: OCLC:839129361 |
ISBN-13 |
: |
Rating |
: 4/5 (61 Downloads) |
Synopsis Estimating Correlated Jumps and Stochastic Volatilities by : Jiří Witzany
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on the two most important Czech domestic financial market time series of the FX (CZK/EUR) and stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model. -- jump-diffusion ; stochastic volatility ; MCMC ; Value at Risk ; Monte Carlo
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
Author |
: Jim Gatheral |
Publisher |
: John Wiley & Sons |
Total Pages |
: 204 |
Release |
: 2011-03-10 |
ISBN-10 |
: 9781118046456 |
ISBN-13 |
: 1118046455 |
Rating |
: 4/5 (56 Downloads) |
Synopsis The Volatility Surface by : Jim Gatheral
Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP
Author |
: Emanuel Derman |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: 1119289254 |
ISBN-13 |
: 9781119289258 |
Rating |
: 4/5 (54 Downloads) |
Synopsis The Volatility Smile by : Emanuel Derman
"The Volatility Smile: An Introduction for Students and Practitioners The Black-Scholes-Merton options model was the greatest innovation of 20th Century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models"--
Author |
: |
Publisher |
: |
Total Pages |
: 794 |
Release |
: 2005 |
ISBN-10 |
: STANFORD:36105121673169 |
ISBN-13 |
: |
Rating |
: 4/5 (69 Downloads) |
Synopsis Dissertation Abstracts International by :
Author |
: Alireza Javaheri |
Publisher |
: John Wiley & Sons |
Total Pages |
: 323 |
Release |
: 2015-07-27 |
ISBN-10 |
: 9781118943991 |
ISBN-13 |
: 1118943996 |
Rating |
: 4/5 (91 Downloads) |
Synopsis Inside Volatility Filtering by : Alireza Javaheri
A new, more accurate take on the classical approach to volatility evaluation Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of "filtering", this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well as Wiener Chaos Expansions and other spectral approaches. The author's statistical trading strategy has been expanded with more in-depth discussion, and the companion website offers new topical insight, additional models, and extra charts that delve into the profitability of applied model calibration. You'll find a more precise approach to the classical time series and financial econometrics evaluation, with expert advice on turning data into profit. Financial markets do not always behave according to a normal bell curve. Skewness creates uncertainty and surprises, and tarnishes trading performance, but it's not going away. This book shows traders how to work with skewness: how to predict it, estimate its impact, and determine whether the data is presenting a warning to stay away or an opportunity for profit. Base volatility estimations on more accurate data Integrate past observation with Bayesian probability Exploit posterior distribution of the hidden state for optimal estimation Boost trade profitability by utilizing "skewness" opportunities Wall Street is constantly searching for volatility assessment methods that will make their models more accurate, but precise handling of skewness is the key to true accuracy. Inside Volatility Filtering shows you a better way to approach non-normal distributions for more accurate volatility estimation.
Author |
: Mthuli Ncube |
Publisher |
: |
Total Pages |
: 124 |
Release |
: 2012 |
ISBN-10 |
: 3659241199 |
ISBN-13 |
: 9783659241192 |
Rating |
: 4/5 (99 Downloads) |
Synopsis Jump Diffusion and Stochastic Volatility Models in Securities Pricing by : Mthuli Ncube