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Extraction of Market Expectations from Option Prices

This book estimates risk neutral parameters of a jump diffusion model, as in Bates (1991), implicit in the option prices on the S&P500;

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Asset Price Dynamics, Volatility, and Prediction

This book shows how current and recent market prices convey information about the probability distributions that govern future prices;

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Variations in Risk Aversion

functions from a ten years sample of daily option and stock market prices. Moreover, we construct a time series of the absolute risk aversion, and;

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Uncertainty Within Economic Models

market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways;

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A Time Series Approach to Option Pricing

numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using;

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Option Pricing in the Presence of Liquidity Risk

. Market liquidity risk has an effect on for example security prices, risk management, and the speed of arbitrage. The banks and their funding;

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Natural Gas Markets & Lessons Learned

market tightened and prices moved up. In the summer, supply area spot prices went much higher than in the past, then decreased through the rest;

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Option Volatility Trading Strategies

outlines his personal approach for analyzing and trading options the way the pros do: using option models, estimating option prices, and using key;

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Price Expectations in Goods and Financial Markets

Analysing how price expectations are formed is essential since the dynamics of market prices are mainly driven by the agent's belief;

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Options Under Transaction Costs

lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not;

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Trading on Expectations

, reflects what the market is doing. Sometimes market prices can be predicted using the economists' models; sometimes prices follow a random walk;

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Behavioral Trading

Have you ever wondered to what extent investor confidence and expectations impact stock market prices? In Behavioral Trading, stock market;

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Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial;

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Option Pricing with Long Memory Stochastic Volatility Models

, due to the complex structures of the long memory processes, the analytical formulas for option prices are not available yet. In this book, we;

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U.S. Wind Power Industry Market

surpassing even optimistic growth projections from years past. At the same time, the combination of the financial crisis and lower wholesale;

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Information and Learning in Markets

understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts;

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Nonlinear Option Pricing

market prices of vanilla options with/without stochastic interest rates, the a + b technique for building local correlation models that;

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From Mao to Market

failed to prevent local governments from forcing prices to market levels. Having partially decontrolled the economy in the early 1980s, economic;

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From Mao to Market

failed to prevent local governments from forcing prices to market levels. Having partially decontrolled the economy in the early 1980s, economic;

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The Impact of Rating Actions on Stock Prices in the Italian Market

market. The study looks at a sample of 330 rating agency announcements concerning Italian issuers from 1995 to 2006. Using the Event Study;

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Option Pricing

relationships among options prices, stock forecasts, and expected stock-market volatility. Option Pricing: Black-Scholes Made Easy, a book and;

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The Manual Screw Press for Small-Scale Oil Extraction

Manual oil extraction from peanuts or other soft oil-seeds can be a viable enterprise for small businesses. This book describes small-scale;

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The Intelligent Option Investor

the lucrative options market, forget about day trading, chart patterns, and market timing. This systematic book lays out a path to long-term;

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Option Market Making

Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option;

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Stock-Market Psychology

in stock markets. The book focuses on the way in which investors process information and form expectations about future gains. It argues that;

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Stock-Market Psychology

in stock markets. The book focuses on the way in which investors process information and form expectations about future gains. It argues that;

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Option Spread Trading

strategies that can be used to profit from a strong up or down directional move in a stock, a stagnant market, or a highly volatile market. He also;

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