Market-Conform Valuation of Options

Market-Conform Valuation of Options

Author: Tobias Herwig

Publisher: Springer Science & Business Media

Published: 2006-03-12

Total Pages: 112

ISBN-13: 3540308385

DOWNLOAD EBOOK

1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g. , forwards, futures, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for 'market-conform' valuation - 'smile-consistent' valuation or 'fair-market' valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique.


Trading and Pricing Financial Derivatives

Trading and Pricing Financial Derivatives

Author: Patrick Boyle

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2018-12-17

Total Pages: 273

ISBN-13: 1547401214

DOWNLOAD EBOOK

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.


Finance Theory and Asset Pricing

Finance Theory and Asset Pricing

Author: Frank Milne

Publisher: Oxford University Press, USA

Published: 2003

Total Pages: 250

ISBN-13: 0199261067

DOWNLOAD EBOOK

Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Using finite dimensional techniques, this book avoids sophisticated mathematics and exploits economic theory to clarify the essential structure of recent research in asset pricing. In particular, it explores arbitrage pricing models with and without diversification, Martingale pricing methods and representative agent pricing models; discusses these ideas in two-date and multi-date models; and provides a range of examples from the literature. This second edition includes a new section dealing with more advanced multi-period models. In particular it considers discrete factor structure models that mimic recent continuous time models of interest rates, money, and nominal rates and exchange rates. Additional sections sketch extensions to real options and transaction costs.


Binomial Models in Finance

Binomial Models in Finance

Author: John van der Hoek

Publisher: Springer Science & Business Media

Published: 2006-04-18

Total Pages: 309

ISBN-13: 0387316078

DOWNLOAD EBOOK

This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step binomial model where a known price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation “risk neutral pricing” can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multinomial models to explain the notions of incomplete markets and how pricing can be viewed in such a context, where unique prices are no longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using binomial models. More precise modelling issues such as implied volatility trees and implied binomial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.


Computational Science — ICCS 2001

Computational Science — ICCS 2001

Author: Vassil N. Alexandrov

Publisher: Springer

Published: 2003-05-15

Total Pages: 1294

ISBN-13: 3540455450

DOWNLOAD EBOOK

LNCS volumes 2073 and 2074 contain the proceedings of the International Conference on Computational Science, ICCS 2001, held in San Francisco, California, May 27 -31, 2001. The two volumes consist of more than 230 contributed and invited papers that reflect the aims of the conference to bring together researchers and scientists from mathematics and computer science as basic computing disciplines, researchers from various application areas who are pioneering advanced application of computational methods to sciences such as physics, chemistry, life sciences, and engineering, arts and humanitarian fields, along with software developers and vendors, to discuss problems and solutions in the area, to identify new issues, and to shape future directions for research, as well as to help industrial users apply various advanced computational techniques.


Ethics and Deviations in Decision-making

Ethics and Deviations in Decision-making

Author: Gagari Chakrabarti

Publisher: Springer Nature

Published: 2019-11-20

Total Pages: 310

ISBN-13: 9811506876

DOWNLOAD EBOOK

This book explores how the ethically inconsistent behaviour in workplaces can be rooted in moral fibers of the decision-makers, and/or in their varying moral foci depending on the philosophical cornerstones, on which those rest. It explores further whether such decisions may be shaped or modified by contextual factors leading, possibly, to bounded ethicality. Based on a primary survey approaching the academicians, administrators, and other service-holders from India and abroad, it analyses the problem, its determinants and variations across socio-economic and demographic factors.


Real Options Analysis

Real Options Analysis

Author: Johnathan Mun

Publisher: John Wiley & Sons

Published: 2012-07-02

Total Pages: 603

ISBN-13: 1118429079

DOWNLOAD EBOOK

"Mun demystifies real options analysis and delivers a powerful, pragmatic guide for decision-makers and practitioners alike. Finally, there is a book that equips professionals to easily recognize, value, and seize real options in the world around them." --Jim Schreckengast, Senior VP, R&D Strategy, Gemplus International SA, France Completely revised and updated to meet the challenges of today's dynamic business environment, Real Options Analysis, Second Edition offers you a fresh look at evaluating capital investment strategies by taking the strategic decision-making process into consideration. This comprehensive guide provides both a qualitative and quantitative description of real options; the methods used in solving real options; why and when they are used; and the applicability of these methods in decision making.


Constructing Measures

Constructing Measures

Author: Mark Wilson

Publisher: Taylor & Francis

Published: 2023-06-05

Total Pages: 395

ISBN-13: 1000887227

DOWNLOAD EBOOK

Constructing Measures introduces a way to understand the advantages and disadvantages of measurement instruments. It explains the ways to use such instruments, and how to apply these methods to develop new instruments or adapt old ones, based on item response modeling and construct references. Now in its second edition, this book focuses on the steps taken while constructing an instrument, and breaks down the "building blocks" that make up an instrument—the construct map, the design plan for the items, the outcome space, and the statistical measurement model. The material covers a variety of item formats, including multiple-choice, open-ended, and performance items, projects, portfolios, Likert and Guttman items, behavioral observations, and interview protocols. Each chapter includes an overview of the key concepts, related resources for further investigation, and exercises and activities. A variety of examples from the behavioral and social sciences and education—including achievement and performance testing, attitude measures, health measures, and general sociological scales—demonstrate the application of the material. New to this edition are additional example contexts including a cognitive/achievement example, an attitude example, and a behavioral example and new concentrations on specific measurement issues and practices such as standard-setting, computer-delivery and reporting, and going beyond the Likert response format. Constructing Measures is an invaluable text for undergraduate and graduate courses on item, test, or instrument development; measurement; item response theory; or Rasch analysis taught in a variety of departments, including education, statistics, and psychology. The book also appeals to practitioners who develop instruments, including industrial/organizational, educational, and school psychologists; health outcomes researchers; program evaluators; and sociological measurers.


High-Frequency Trading Models

High-Frequency Trading Models

Author: Gewei Ye

Publisher: John Wiley and Sons

Published: 2010-12-20

Total Pages: 360

ISBN-13: 0470925841

DOWNLOAD EBOOK

A hands-on guide to high frequency trading strategies and models Accounting for over sixty percent of stock market trading volume and generating huge profits for a small number of firms, high frequency trading is one of the most talked about topics in the world of finance. Given the success of this approach, many firms are quickly beginning to implement their own high frequency strategies. In High Frequency Trading Models, Dr. Gewei Ye describes the technology, architecture, and algorithms underlying current high frequency trading models, which exploit order flow imbalances and temporary pricing inefficiencies. Along the way, he explains how to develop a HFT trading system and introduces you to his own system for building high frequency strategies based on behavioral algorithms. Discusses how to improve current institutional HFT strategies and suggests directions for new strategies Companion Website includes algorithms and models discussed throughout the book Covers essential topics in this field, including rebate trading, arbitrage, flash trading, and other types of trading Engaging and informative, High Frequency Trading Models is a must-read for anyone who wants to stay ahead of the curve in this hot new area.


Microeconomic Modeling in Urban Science

Microeconomic Modeling in Urban Science

Author: Francisco Martinez Concha

Publisher: Academic Press

Published: 2018-07-10

Total Pages: 296

ISBN-13: 0128152974

DOWNLOAD EBOOK

Microeconomic Modeling in Urban Science proposes an interdisciplinary framework for the analysis of urban systems. It portrays agents as rational beings modeled under the framework of random utility behavior and interacting in a complex market of location auctions, location externalities, agglomeration economies, transport accessibility attributes, and planning regulations and incentives. Francisco Javier Martinez Concha considers the optimal planning of cities as he explores interactions between citizens and between citizens and firms, the mesoscopic agglomeration of firms and the segregation of agents' socioeconomic clusters, and the emergence of city-level scale laws. Its unified model of city life is relevant to micro-, meso- and macro-scale interactions. - Presents a unified, coherent and realistic framework able to simulate complete urban systems - Describes the use of discrete–choice and stochastic behavior models in the auction spatial-equilibrium market - Includes computing outputs from Cube-Land modeling using GIS