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Stochastic Models and Option Values

is dynamic stochastic models, in which information arrives and decisions are made sequentially. This gives rise to what finance theorists call option;

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Option Pricing with Long Memory Stochastic Volatility Models

. Using the tools from stochastic calculus, fractional calculus and Fourier transform, we derive the (approximate) analytical solutions for option;

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Real Options Analysis

, real option models reflect stochastic underlying processes and flexibility. In this book, the authors present topical research in the study;

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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 and Estimation of Financial Models with R

Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous;

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Option Pricing Models and Volatility Using ExcelVBA

because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH. --Steven L. Heston;

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Parameter Estimation in Stochastic Volatility Models

well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory;

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Stochastic Models of Financial Mathematics

focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and;

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American-Type Options

combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree;

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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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Sojourns And Extremes Of Stochastic Processes

Berman has made many contributions to the theory of the extreme values and sojourn times of the sample functions of broad classes of stochastic;

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Sojourns And Extremes of Stochastic Processes

Berman has made many contributions to the theory of the extreme values and sojourn times of the sample functions of broad classes of stochastic;

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American-Type Options

general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models;

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Optimal Statistical Inference in Financial Engineering

in Financial Engineering examines how stochastic models can effectively describe actual financial data and illustrates how to properly estimate the;

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Nonlinear Option Pricing

calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching;

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Asset Price Dynamics, Volatility, and Prediction

show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future;

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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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Fixed-Income Analysis for the Global Financial Market

management-driven discussion of duration and convexity Interest rate swaps, currency swaps, and exchange-traded futures Stochastic models and option;

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Weak Convergence of Financial Markets

A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into;

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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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Introduction to Option Pricing Theory

Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly;

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Stochastic Biomathematical Models

systems. Recent advances in stochastic analysis and increasing computing power facilitate the analysis of more biophysically realistic models, and;

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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite;

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Introduction to Stochastic Calculus Applied to Finance

more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods;

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Introduction to Stochastic Calculus Applied to Finance

more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods;

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Applied Stochastic Modelling

computational programs, the author provides the option of using powerful computational tools for stochastic modelling. All of the data sets and MATLAB;

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