Search Results for "pricing-interest-rate-derivatives-a-fourier-transform-based-approach-a-fourier-tranform-based-approach-lecture-notes-in-economics-and-mathematical-systems"

Pricing Interest-Rate Derivatives

Pricing Interest-Rate Derivatives

A Fourier-Transform Based Approach

  • Author: Markus Bouziane
  • Publisher: Springer Science & Business Media
  • ISBN: 9783540770664
  • Category: Business & Economics
  • Page: 193
  • View: 7844
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The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.

PDE and Martingale Methods in Option Pricing

PDE and Martingale Methods in Option Pricing

  • Author: Andrea Pascucci
  • Publisher: Springer Science & Business Media
  • ISBN: 9788847017818
  • Category: Mathematics
  • Page: 721
  • View: 8682
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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

Financial Pricing Models in Continuous Time and Kalman Filtering

Financial Pricing Models in Continuous Time and Kalman Filtering

  • Author: B. Philipp Kellerhals
  • Publisher: Springer Verlag
  • ISBN: 9783540423645
  • Category: Business & Economics
  • Page: 247
  • View: 2125
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The modern field of financial economics asks for sound pricing models grounded on the theory of financial decision making as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. The volume Financial Pricing Models in Continuous Time and Kalman Filtering provides a framework that shows how to bridge the gap between the time-continuous pricing practice in financial engineering and the capital market data inevitably only available at discrete time intervals. Starting with the general framework we consider applications to financial instruments traded on the markets for funds, fixed income products, and electricity derivatives.

Term-Structure Models

Term-Structure Models

A Graduate Course

  • Author: Damir Filipovic
  • Publisher: Springer Science & Business Media
  • ISBN: 3540680152
  • Category: Mathematics
  • Page: 256
  • View: 3757
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Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Finacial Pricing Modeels In Continuous Time And Kalman Filtering

Finacial Pricing Modeels In Continuous Time And Kalman Filtering

  • Author: B. Philipp Kellerhals
  • Publisher: Springer Verlag
  • ISBN: N.A
  • Category: Business & Economics
  • Page: 247
  • View: 8690
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The modern field of financial economics asks for sound pricing models grounded on the theory of financial decision making as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. The volume Financial Pricing Models in Continuous Time and Kalman Filtering provides a framework that shows how to bridge the gap between the time-continuous pricing practice in financial engineering and the capital market data inevitably only available at discrete time intervals. Starting with the general framework we consider applications to financial instruments traded on the markets for funds, fixed income products, and electricity derivatives.

Current Index to Journals in Education

Current Index to Journals in Education

CIJE.

  • Author: N.A
  • Publisher: N.A
  • ISBN: N.A
  • Category: Education
  • Page: N.A
  • View: 5263
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