Stochastic Dominance Option Pricing, Stylianos Perrakis

Автор: Benth
Название: Option Theory with Stochastic Analysis
ISBN: 354040502X ISBN-13(EAN): 9783540405023
Издательство: Springer
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Цена: 51230.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The objective of this textbook is to provide a very basic and accessible introduction to option pricing, invoking only a minimum of stochastic analysis. Although short, it covers the theory essential to the statistical modeling of stocks, pricing of derivatives (general contingent claims) with martingale theory, and computational finance including both finite-difference and Monte Carlo methods. The reader is led to an understanding of the assumptions inherent in the Black & Scholes theory, of the main idea behind deriving prices and hedges, and of the use of numerical methods to compute prices for exotic contracts. The author's style is compact and to-the-point, requiring of the reader only basic mathematical skills. In contrast to many books addressed to an audience with greater mathematical experience, it can appeal not only to students entering the discipline, but also to many practitioners, e.g. in industry, looking for an introduction to this theory without too much detail.

Автор: Chen
Название: General Equilibrium Option Pricing Method: Theoretical and Empirical Study
ISBN: 9811074275 ISBN-13(EAN): 9789811074271
Издательство: Springer
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Цена: 93160.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk.

Автор: Haim Levy
Название: Stochastic Dominance
ISBN: 3319217070 ISBN-13(EAN): 9783319217079
Издательство: Springer
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Цена: 121110.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach.

Автор: Sriboonchita
Название: Stochastic Dominance and Applications to Finance, Risk and Economics
ISBN: 1138117994 ISBN-13(EAN): 9781138117990
Издательство: Taylor&Francis
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Цена: 71450.00 T
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Описание: This accessible guide helps readers build a useful repertoire of mathematical tools in decision making under uncertainty, especially in investment science. It uses real data and statistical procedures to show how SD theory is applied in financial situations, introduces utility theory for decision making under risk and discusses research issues.

Автор: Haim Levy
Название: Stochastic Dominance
ISBN: 3319330594 ISBN-13(EAN): 9783319330594
Издательство: Springer
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Цена: 121110.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach.

Автор: Yoon-Jae Whang
Название: Econometric Analysis of Stochastic Dominance: Concepts, Methods, Tools, and Applications
ISBN: 1108472796 ISBN-13(EAN): 9781108472791
Издательство: Cambridge Academ
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Цена: 61240.00 T
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Описание: Stochastic dominance is a fundamental concept used heavily in various fields of science such as economics, finance, insurance, medicine, and statistics. This book examines stochastic dominance in a unified framework, focusing on inferential methods and foundations. It will appeal to graduate students, academic researchers, and professionals.

Автор: Haim Levy
Название: Stochastic Dominance
ISBN: 1441939830 ISBN-13(EAN): 9781441939838
Издательство: Springer
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Цена: 186330.00 T
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Описание: The book covers three basic approaches to this process: the stochastic dominance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory.

Автор: Rosa Greaves
Название: Dominance and Monopolization: Volume II
ISBN: 0754629104 ISBN-13(EAN): 9780754629108
Издательство: Taylor&Francis
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Цена: 306240.00 T
Наличие на складе: Нет в наличии.
Описание: This volume selects articles on antitrust and competition law as tools for understanding how this law is applied to unilateral conduct which is harmful to the consumer and to the competitiveness of the market. The articles examine the meaning of dominance and monopolisation; consider the various debates on pricing and non-pricing conduct.

Автор: Chiarella Carl Et Al
Название: Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches
ISBN: 9814452610 ISBN-13(EAN): 9789814452618
Издательство: World Scientific Publishing
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Цена: 85530.00 T
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Описание: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.

Автор: Christophe Chorro; Dominique Gu?gan; Florian Ielpo
Название: A Time Series Approach to Option Pricing
ISBN: 3662450364 ISBN-13(EAN): 9783662450369
Издательство: Springer
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Цена: 93160.00 T
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Описание: The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models.