外来品期权定价与高级Levy模型EXOTIC OPTION PRICING AND ADVANCED LéVY MODELS pdf mobi txt 2024 电子版 下载

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black–Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field.

作者简介：ANDREAS KYPRIANOU has a degree in Mathematics from Oxford University and a PhD in Probability Theory from Sheffield University. He has held academic positions in Mathematics and Statistics departments at The London School of Economics, Edinburgh University, Utrecht University and, currently, Heriot Watt University. He has also worked for nearly two years as a research mathematician with Shell International Exploration and Production. His research interests are focused on pure and applied probability with recent focus on Lévy processes. He has taught a range of courses on Probability Theory, Stochastic Analysis, Financial Stochastics and Lévy Processes for the Amsterdam-Utrecht Masters programme in Stochastics and Financial Mathematics and the MSc programme in Financial Mathematics at Edinburgh.

Contributors

Preface

About the Editors

About the Contributors

1 Levy Processes in Finance Distinguished by their Coarse and Fine Path Properties Andreas EKyprianou and RLoeffen

1.1 Introduction

1.2 Levy Processes

1.3 Examples of Levy Processes in finance

1.4 Path properties

1.5 Examples revisited

1.6 Conclusions

References

2 Simulation Methods with Levy Processes Nick Webber

2.1 Introduction

2.2 Modelling price and rate movements

2.3 A basis for a numerical approach

2.4 Constructing bridges for Levy Processes

2.5 Valuing discretely reset path-dependant options

2.6 Valuing continuously reset path-dependent options

2.7 Conclusions

3 Risks in Returns: A Pure Jump Perspective Helyette Geman and Dilip BMadan

3.1 Introduction

3.2 CGMY model details

3.3 Estimation details

3.4 Estimation results

3.5 Conclusions

References

4 Model Risk for Exotic and Moment Derivatives Wim Schoutens, Erwin Simons and Jurgen Tistaert

4.1 Introduction

4.2 The models

4.3 Calibration

4.4 Simulation

4.5 Pricing of exotic options

4.6 Pricing of moment derivatives

4.7 Conclusions

References

5 Symmetries and Pricing of Exotic Options in Levy Models Ernst Eberlein and Antonis Papapantoleon

5.1 Introduction

5.2 Model and assumptions

5.3 General description of the method

5.4 Vanilla options

5.5 Exotic options

5.6 Margrabe-type options

References

6 Static Hedging of Asian Options Under Stochastic Volatility Models using Fast Fourier Transform Hansjorg Albrecher and Wim Schoutens

6.1 Introduction

6.2 Stochastic volatility models

6.3 Static hedging of Asian options

6.4 Numerical Implementation

6.5 Numerical illustrations

6.6 A model-independent static super-hedge

6.7 Conclusions

References

7 Impact of Market Crises on Real Options Pauline Barrieu and Nadine Bellamy

7.1 IOntroduction

7.2 The model

7.3 The real option characteristics

7.4 Optimal discount rate and average waiting time

7.5 Robustness of the inverstment decision characters

7.6 Contiuos models versus discontinuous model

7.7 Conclusions

References

8 Moment Derivatives and Levy-type Market Completion Jose Manuel Corcuera, David Nualart and Wim Schoutens

8.1 Introduction

8.2 Market completuion in the descrete-time setting

8.3 The Levy market

8.4 Enlarging the Levy market model

8.5 Arbitrage

8.6 Optimal portfolios

References

9 Pricing Perpetual American Options Driven by Spectrally One-sided Levy Processes Terence Chan

9.1 Introduction

9.2 First-passage distributions and other results for spectrally positive Levy

9.3 Description of the model, basic definitions and notations

9.4 A renewal equation approach to pricing

9.5 Explicit pricing formulae for American puts

9.6 Some specific examples

Appendix: use of fast fourier transform

References

Epilogue

Further references

10 On Asian Options of American Type Goran Peskir and Nadia Uys

10.1 Introduction

10.2 Formulation of the problem

10.3 The result and proof

10.4 Remarks on numerics

Appendix

References

11 Why be Backward? Forward Equations for American Options Peter Carr and Ali Hirsa

11.1 Introduction

11.2 Reveiw of the backward free boundary problem

11.3 Stationarity and domain extension in the maturity direction

11.4 Additivity and domain extension in the strike direction

11.5 The forward free boundary problem

11.6 Summary and future research

Appendix: Discretization of forward equation for American options

References

12 Numerical Valuation of American Options Under the CGMY Process Ariel Almendral

12.1 Introduction

12.2 The CGMY process as a Levy process

12.3 Numerical Valuation of the American CGMY price

12.4 Numerical experiments

Appendix: Analytic formula for European option prices

References

13 Convertible Bonds: Financial Derivatives of Game Type Jan Kallsen and Christoph Kuhn

13.1 Introduction

13.2 No-arbitrage pricing for game contigent claims

13.3 Convertible bonds

13.4 Conclusions

References

14 The Spread Option Optimal Stopping Game Pavel VGapeev

14.1 Introduction

14.2 Formulation of the problem

14.3 Solution of the free-boundary problem

14.4 Main result and proof

14.5 Conclusions

References

Index

暂无相关内容，正在全力查找中

暂无出版社相关信息，正在全力查找中！

暂无相关书籍摘录，正在全力查找中！

在线阅读地址：外来品期权定价与高级Levy模型EXOTIC OPTION PRICING AND ADVANCED LéVY MODELS在线阅读

在线听书地址：外来品期权定价与高级Levy模型EXOTIC OPTION PRICING AND ADVANCED LéVY MODELS在线收听

在线购买地址：外来品期权定价与高级Levy模型EXOTIC OPTION PRICING AND ADVANCED LéVY MODELS在线购买

暂无原文赏析，正在全力查找中！

书籍介绍

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Levy process. Working with Levy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Levy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Levy markets, written by leading scientists in this field. In recent years, Levy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

• 作者：形而上学 发布时间：2011-12-20 11:49:07

  岳珂无史识,人品极差,此书只是沾了岳飞的光,

• 作者：闲云 发布时间：2022-08-19 16:48:51

  化城喻的比喻是很妙的，一座幻化出来的城却能提供真实的庇护，几乎可以比喻一切精神上的堡垒。但又是虚假的，因此落在故事里也不过就是一场又一场的作秀。作者太喜欢卖弄唇舌，于是笔下的人各个伶牙俐齿地一模一样，一个接一个出场不免面目模糊而乏味。

• 作者：Lloyd 发布时间：2019-11-07 19:09:55

  Zitti! Sto pensando...

• 作者：星辰大海 发布时间：2024-03-23 15:02:22

  很有价值的税务书籍

• 作者：用心阁 发布时间：2006-10-11 13:11:52

  第二本：2010-6-17 购于卓越网

• 作者：赛美 发布时间：2014-06-01 00:33:06

  通过不同家庭情况的财务以及人生阶段的分析，毛丹平博士给出了财富规划建议。从不同的家庭，看到多样的人生。

• 寻找人类思想的第一缕微光

  作者：momo 发布时间：2019-10-19 16:32:07

  侦探，一个通过发现蛛丝马迹，探寻事实真相的职业。

  作为符号侦探，吉纳维芙的要探寻的真相不同于寻常侦探。福尔摩斯寻找的是凶手，而吉纳维芙寻找的，是人类思想的第一缕微光。

  “我们的祖先，是什么时候开始拥有人类真正意义上的思考能力的？我们又是怎样从那时一步步走到今天的？”

  要得到问题的答案，首先要知道人类的大脑是如何发展的。人类的远古祖先生活在大约350万年前，他们的大脑远小于现代人的大脑。然而，“大脑这种软组织无法以化石的形式保存下来”，现代科学无法通过解剖他们的大脑，来理解大脑神经元的活动。

  解剖学无能为力之时，便到了考古学的领域。作者在第二章就给出了方法：“既然无法直接研究大脑，那就研究大脑活动的产物。”

  人类使用的各种工具，以及用工具创造出来的作品，都是大脑活动的产物。现代社会种类繁多的艺术作品，如蒙娜丽莎画像、断臂维纳斯雕像，以及各种科技产品，如智能手机、智能家电等，代表着现代人类智慧的最高水平。

  同样，从早期人类留下的各种工具和符号，我们也可以一窥他们当时的生活状态。这便是本书的主线。

  但《侦探符号》又不同于传统的学术文献，吉纳维芙详尽地描述了发现符号过程中的所见所闻：遗址周围的自然风光、地理环境，怎样在洞穴里匍匐前进，怎样找到符号……阅读过程中，就好像与她一起来了一场远古的探险。

  然而吉纳维芙作为“侦探”，光是发现线索，还远远不够。于是，她又使用了一些科学的分析方法，如，放射性碳定年法、电脑图像处理技术、大数据分析方法等，再辅以适当的想象力，为我们描绘出冰河时期的人类生活的图景：

  从经过热处理的鲜红赭石，推测远祖人类的化学知识；

  从毫无实际用途的石头雕像，推测远祖人类的审美意识；

  从豪华的墓葬规模，推测远祖人类对死亡的理解；

  从数量有限的贝壳，推测远祖人类的身份意识；

  从洞穴里的人物画像，推测远祖人类如何看待自己；

  从意义晦涩的岩画，推测远祖人类的幻象和信仰；

  从重复图像的分布，推出远祖人类的迁徙路线，贸易网络覆盖情况；

  ……

  这些符号为我们提供如此多的信息，尽管它们简单且粗糙，或许还比不上小学生的信笔涂鸦。但看到书中的插图，我仍然觉得感动。

  已经具备现代人思维的远祖人类，为何创作出来的却是这样“粗制滥造”的作品？

  不是因为他们智力低下，书中已经论证，“他们的认知水平已经发展到和我们同样的高度”。

  而是因为他们是“盘古”，是劈开混沌的开创者，是人类思想的第一缕微光。

  他们是第一批尝试把身边的实物和脑中的幻象画下来的人。

  如同科技领域经过数千年的知识积累，才在近百年迎来技术的井喷式发展。现代艺术领域结出的累累硕果，也是站在巨人的肩膀上完成的。

  而远祖人类没有肩膀可以站，因为“他们自己就是巨人”。

• 更细腻和更智慧

  作者：安小嗔 发布时间：2010-04-12 09:17:24

  事实证明，这17块钱花的有些冤枉。整个故事看下来，木感动，木想法。最好，还是在网上看看，不用花钱买无聊了。

  事实证明，这个故事太清淡，远没有六六智慧和尖锐，更没有渡边淳一风骚和癫狂。

  叶老这次入题入的太慢，而前面的铺垫又不够诱人。他笔下的苏珊，欧码噶地，有点太过随便了吧，总让人无法和种种高尚的词联想起来。

  仓促、没有细腻的心理描写是我认为这个小说不够精彩的地方。

  ps:读书速度有所提高，是看这本书的小小成就。