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Analysing intraday implied volatility for pricing currency options / / Thi Le
| Analysing intraday implied volatility for pricing currency options / / Thi Le |
| Autore | Le Thi |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (370 pages) |
| Disciplina | 332.45 |
| Collana | Contributions to Finance and Accounting |
| Soggetto topico |
Foreign exchange options
Options (Finance) - Prices Financial risk management |
| ISBN | 3-030-71242-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910484601403321 |
Le Thi
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| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Commodity option pricing : a practitioner's guide / / Iain J. Clark
| Commodity option pricing : a practitioner's guide / / Iain J. Clark |
| Autore | Clark Iain J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (343 pages) : illustrations |
| Disciplina | 332.63/28 |
| Altri autori (Persone) | ClarkIain J |
| Collana | Wiley finance series |
| Soggetto topico |
Commodity options
Options (Finance) - Prices |
| ISBN |
1-4443-6240-2
1-118-87178-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910208816403321 |
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Clark Iain J
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| Chichester, England : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Commodity option pricing : a practitioner's guide / / Iain J. Clark
| Commodity option pricing : a practitioner's guide / / Iain J. Clark |
| Autore | Clark Iain J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (343 pages) : illustrations |
| Disciplina | 332.63/28 |
| Altri autori (Persone) | ClarkIain J |
| Collana | Wiley finance series |
| Soggetto topico |
Commodity options
Options (Finance) - Prices |
| ISBN |
1-4443-6240-2
1-118-87178-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910821917403321 |
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Clark Iain J
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| Chichester, England : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Foreign exchange option pricing [[electronic resource] ] : a practitioner's guide / / Iain J. Clark
| Foreign exchange option pricing [[electronic resource] ] : a practitioner's guide / / Iain J. Clark |
| Autore | Clark Iain J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester [England], : Wiley, 2011 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina | 332.4/5 |
| Collana | Wiley finance series |
| Soggetto topico |
Options (Finance) - Prices
Stock options Foreign exchange rates |
| ISBN |
1-119-20867-X
1-283-23956-6 9786613239563 0-470-97719-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility. |
| Record Nr. | UNINA-9910139557303321 |
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Clark Iain J
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| Chichester [England], : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Foreign exchange option pricing [[electronic resource] ] : a practitioner's guide / / Iain J. Clark
| Foreign exchange option pricing [[electronic resource] ] : a practitioner's guide / / Iain J. Clark |
| Autore | Clark Iain J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester [England], : Wiley, 2011 |
| Descrizione fisica | 1 online resource (300 p.) |
| Disciplina | 332.4/5 |
| Collana | Wiley finance series |
| Soggetto topico |
Options (Finance) - Prices
Stock options Foreign exchange rates |
| ISBN |
1-119-20867-X
1-283-23956-6 9786613239563 0-470-97719-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility. |
| Record Nr. | UNINA-9910809874103321 |
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Clark Iain J
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| Chichester [England], : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Heston model and its extensions in Matlab and C# [[electronic resource] /] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston]
| The Heston model and its extensions in Matlab and C# [[electronic resource] /] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston] |
| Autore | Rouah Fabrice <1964-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (434 p.) |
| Disciplina | 332.64/53028553 |
| Collana | Wiley finance series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models C# (Computer program language) |
| ISBN |
1-118-69517-8
1-118-65647-4 1-118-69518-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options. |
| Record Nr. | UNINA-9910139005703321 |
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Rouah Fabrice <1964->
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| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Heston model and its extensions in VBA + website / / Fabrice D. Rouah
| The Heston model and its extensions in VBA + website / / Fabrice D. Rouah |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (0 pages) : illustrations |
| Disciplina | 332.64/5302855133 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models |
| ISBN |
1-119-00330-X
1-119-00331-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope Conclusion Chapter 3: Derivations Using the Fourier Transform Derivation of Gatheral (2006) Attari (2004) Representation Carr and Madan (1999) Representation Conclusion Chapter 4: The Fundamental Transform for Pricing Options The Payoff Transform Option Prices Using Parseval's Identity Volatility of Volatility Series Expansion Conclusion Chapter 5: Numerical Integration Schemes The Integrand in Numerical Integration Newton-Cotes Formulas Gaussian Quadrature Integration Limits, Multi-Domain Integration, and Kahl and Jackel Transformation Illustration of Numerical Integration Fast Fourier Transform Fractional Fast Fourier Transform Conclusion Chapter 6: Parameter Estimation Estimation Using Loss Functions Speeding up the Estimation Differential Evolution Maximum Likelihood Estimation Risk-Neutral Density and Arbitrage-Free Volatility Surface Conclusion Chapter 7: Simulation in the Heston Model General Setup Euler Scheme Milstein Scheme Implicit Milstein Scheme Transformed Volatility Scheme Balanced, Pathwise, and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivariate Characteristic Function Linking the Bivariate CF and the General Riccati Equation Mikhailov and Nogel Model Elices Model Benhamou-Miri-Gobet Model Black-Scholes Derivatives Conclusion Chapter 10: Methods for Finite Differences The PDE in Terms of an Operator Building Grids Finite Difference Approximation of Derivatives Boundary Conditions for the PDE The Weighted Method Explicit Scheme ADI Schemes Conclusion Chapter 11: The Heston Greeks Analytic Expressions for European Greeks Finite Differences for the Greeks Numerical Implementation of the Greeks Greeks Under the Attari and Carr-Madan Formulations Greeks Under the Lewis Formulations Greeks Using the FFT and FRFT American Greeks Using Simulation American Greeks Using the Explicit Method American Greeks from Medvedev and Scaillet Conclusion Chapter 12: The Double Heston Model Multi-Dimensional Feynman-Kac Theorem Double Heston Call Price Double Heston Greeks Parameter Estimation Simulation in the Double Heston Model American Options in the Double Heston Model Conclusion Bibliography About the Website Index. |
| Record Nr. | UNINA-9910208954803321 |
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Rouah Fabrice <1964->
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| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Heston model and its extensions in VBA + website / / Fabrice D. Rouah
| The Heston model and its extensions in VBA + website / / Fabrice D. Rouah |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (0 pages) : illustrations |
| Disciplina | 332.64/5302855133 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models |
| ISBN |
1-119-00330-X
1-119-00331-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope Conclusion Chapter 3: Derivations Using the Fourier Transform Derivation of Gatheral (2006) Attari (2004) Representation Carr and Madan (1999) Representation Conclusion Chapter 4: The Fundamental Transform for Pricing Options The Payoff Transform Option Prices Using Parseval's Identity Volatility of Volatility Series Expansion Conclusion Chapter 5: Numerical Integration Schemes The Integrand in Numerical Integration Newton-Cotes Formulas Gaussian Quadrature Integration Limits, Multi-Domain Integration, and Kahl and Jackel Transformation Illustration of Numerical Integration Fast Fourier Transform Fractional Fast Fourier Transform Conclusion Chapter 6: Parameter Estimation Estimation Using Loss Functions Speeding up the Estimation Differential Evolution Maximum Likelihood Estimation Risk-Neutral Density and Arbitrage-Free Volatility Surface Conclusion Chapter 7: Simulation in the Heston Model General Setup Euler Scheme Milstein Scheme Implicit Milstein Scheme Transformed Volatility Scheme Balanced, Pathwise, and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivariate Characteristic Function Linking the Bivariate CF and the General Riccati Equation Mikhailov and Nogel Model Elices Model Benhamou-Miri-Gobet Model Black-Scholes Derivatives Conclusion Chapter 10: Methods for Finite Differences The PDE in Terms of an Operator Building Grids Finite Difference Approximation of Derivatives Boundary Conditions for the PDE The Weighted Method Explicit Scheme ADI Schemes Conclusion Chapter 11: The Heston Greeks Analytic Expressions for European Greeks Finite Differences for the Greeks Numerical Implementation of the Greeks Greeks Under the Attari and Carr-Madan Formulations Greeks Under the Lewis Formulations Greeks Using the FFT and FRFT American Greeks Using Simulation American Greeks Using the Explicit Method American Greeks from Medvedev and Scaillet Conclusion Chapter 12: The Double Heston Model Multi-Dimensional Feynman-Kac Theorem Double Heston Call Price Double Heston Greeks Parameter Estimation Simulation in the Double Heston Model American Options in the Double Heston Model Conclusion Bibliography About the Website Index. |
| Record Nr. | UNINA-9910819466503321 |
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Rouah Fabrice <1964->
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| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus
| Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
1-283-40519-9
9786613405197 1-119-99008-4 1-119-99007-6 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910133450703321 |
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Iacus Stefano M (Stefano Maria)
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||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus
| Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
1-283-40519-9
9786613405197 1-119-99008-4 1-119-99007-6 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910827249303321 |
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Iacus Stefano M (Stefano Maria)
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| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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