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Market-Conform Valuation of Options
Herwig, Tobias - 2006
The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction...
Persistent link: https://www.econbiz.de/10013520525
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Optionsbewertung in Theorie und Praxis : Theoretische und empirische Überprüfung des Black/Scholes-Modells
Merk, Andreas - 2011
Black/Scholes-Modell kommt in der Finanzwirtschaft eine herausragende Bedeutung zu, da es sowohl zur Bewertung von Optionen … Modells und wertet Preisabweichungen aus, die sich zwischen dem Black/Scholes-Modell und den Transaktionsdaten für die DAX-Option …
Persistent link: https://www.econbiz.de/10014425338
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Financial Derivatives Modeling
Ekstrand, Christian - 2011
This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The...
Persistent link: https://www.econbiz.de/10013522925
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Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data
Schmidt, Mathias - 2016
-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine … underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any … exchange-listed company, where option and CDS market data are available …
Persistent link: https://www.econbiz.de/10012397112
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Weather Derivatives : Modeling and Pricing Weather-Related Risk
Alexandridis K., Antonis - 2013
The weather derivatives market -- Introduction to Stochastic Calculus -- Handling the data -- Pricing approaches of temperature -- Modeling the daily average temperature -- Pricing temperature derivatives -- The use of meteorological forecasts -- The effects of the geographical and basis risk --...
Persistent link: https://www.econbiz.de/10014016319
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Derivative Security Pricing : Techniques, Methods and Applications
Chiarella, Carl - 2015
Part I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for … Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 … -- 12 Jump-Diffusion Processes -- Option Pricing under Jump-Diffusion Processes -- 14 Partial Differential Equation Approach …
Persistent link: https://www.econbiz.de/10014019196
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Zeitstetige Modellierung von Preisprozessen auf Finanzmärkten : Zur Interpretation und Notwendigkeit der Usual Conditions
Klößner, Stefan - 2005
Die Bedeutung von Derivaten für Anleger auf Finanzmärkten nimmt zu. Gleichzeitig wird es immer wichtiger, bei der Entscheidung über Kauf und Verkauf derartiger Titel die Unsicherheit der zukünftigen Preisentwicklung zu berücksichtigen. Die Annahmen, die den bei der Analyse derartiger...
Persistent link: https://www.econbiz.de/10013517354
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Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach
Bouziane, Markus (contributor) - 2008
This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...
Persistent link: https://www.econbiz.de/10013520918
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The Principles of Alternative Investments Management : A Study of the Global Market
Sokołowska, Ewelina - 2016
Alternative Investments on Contemporary Financial Market -- Hedge Funds -- Investment Strategies of Hedge Funds -- Funds of Funds -- Managed Futures Investments -- Structured Products -- Private Equity/Venture Capital Investments -- Conclusion -- Bibliography.
Persistent link: https://www.econbiz.de/10014020081
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A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances
Chorro, Christophe - 2015
asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its … is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option … pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time …
Persistent link: https://www.econbiz.de/10012401993