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Option Valuation under Stochastic Volatility II

Option Valuation Under Stochastic Volatility II is een boek van Alan L Lewis;

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Option Pricing with Long Memory Stochastic Volatility Models

It is now known that long memory stochastic volatility models can capture the well-documented evidence of volatility persistence. However;

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The Volatility Smile

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely;

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Analytically Tractable Stochastic Stock Price Models

stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing;

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Option Pricing Models and Volatility Using ExcelVBA

Praise for Option Pricing Models & Volatility Using Excel-VBA Excel is already a great pedagogical tool for teaching option valuation and;

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Real Options Analysis

The real option methodology is the generalized approach in corporate financial decision-making, investing and valuation. Traditionally;

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Real Options Valuation

often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Levy;

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Parameter Estimation in Stochastic Volatility Models

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test;

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Volatility And Correlation

in commonly--used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for;

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Stochastic Methods in Economics and Finance

, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds;

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Applications of Fourier Transform to Smile Modeling

transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy jumps;

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An Introduction to Financial Mathematics

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the;

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An Introduction to Financial Mathematics

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the;

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Stochastic Analysis, Stochastic Systems, And Applications To Finance

filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis;

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Stochastic Volatility Modeling

Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising;

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Asset Price Dynamics, Volatility, and Prediction

volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics;

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Market-Consistent Actuarial Valuation

risks, insurance technical risks, and solvency. Including updates on recent developments and regulatory changes under Solvency II, this new;

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and;

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Advanced Equity Derivatives

In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and;

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American-Style Derivatives

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done;

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American-Style Derivatives

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done;

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Introduction to Option Pricing Theory

pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting;

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Analysis, Geometry, and Modeling in Finance

calibration and dynamics of implied volatility, which is commonly called smile. The book covers the Black-Scholes, local volatility, and stochastic;

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Risk Neutral Pricing and Financial Mathematics

financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided;

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Nonlinear Option Pricing

regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the;

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