Financial Mathematics, Volatility and Covariance Modelling, Webster, Andrew (Murdoch University, Australia)

Автор: Bauwens
Название: Handbook of Volatility Models and Their Applications
ISBN: 0470872519 ISBN-13(EAN): 9780470872512
Издательство: Wiley
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Цена: 157290.00 T
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Описание: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics.

Автор: Bishwal
Название: Parameter Estimation in Stochastic Volatility Models
ISBN: 3031038606 ISBN-13(EAN): 9783031038600
Издательство: Springer
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Цена: 139750.00 T
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Описание: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy.

Автор: Itkin Andrey
Название: Fitting Local Volatility: Analytic And Numerical Approaches
ISBN: 9811212767 ISBN-13(EAN): 9789811212765
Издательство: World Scientific Publishing
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Цена: 84480.00 T
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Описание:

The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data.

This book was written with the purpose of presenting new results previously developed in a series of papers and explaining them consistently, starting from the general concept of Dupire, Derman and Kani and then concentrating on various extensions proposed by the author and his co-authors. This volume collects all the results in one place, and provides some typical examples of the problems that can be efficiently solved using the proposed methods. This also results in a faster calibration of the local and implied volatility surfaces as compared to standard approaches.

The methods and solutions presented in this volume are new and recently published, and are accompanied by various additional comments and considerations. Since from the mathematical point of view, the level of details is closer to the applied rather than to the abstract or pure theoretical mathematics, the book could also be recommended to graduate students with majors in computational or quantitative finance, financial engineering or even applied mathematics. In particular, the author used to teach some topics of this book as a part of his special course on computational finance at the Tandon School of Engineering, New York University.

Автор: Mele, Antonio, Fornari, Fabio
Название: Stochastic Volatility in Financial Markets
ISBN: 1461370450 ISBN-13(EAN): 9781461370451
Издательство: Springer
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Цена: 158380.00 T
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Описание: Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts.

Автор: Detlef Repplinger
Название: Pricing of Bond Options
ISBN: 3540707212 ISBN-13(EAN): 9783540707219
Издательство: Springer
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Цена: 79190.00 T
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Описание: Covers the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds and options on coupon bearing bonds are linked by no-arbitrage relations through the correlation structure of interest rates.

Автор: Eugenie M.J.H. Hol
Название: Empirical Studies on Volatility in International Stock Markets
ISBN: 1441953752 ISBN-13(EAN): 9781441953759
Издательство: Springer
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Цена: 158380.00 T
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Описание: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application.

Автор: Mele Antonio, Obayashi Yoshiki
Название: The Price of Fixed Income Market Volatility
ISBN: 3319799673 ISBN-13(EAN): 9783319799674
Издательство: Springer
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Цена: 56120.00 T
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Описание: Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature.

Автор: Christian Hafner
Название: Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility
ISBN: 379081041X ISBN-13(EAN): 9783790810417
Издательство: Springer
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Цена: 81050.00 T
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Описание: This volume examines nonlinear time series analysis with applications to foreign exchange rate volatility. Topics include: modelling volatility of financial time series; nonlinear time series analysis; ARCH models and extensions; non-parametric and semi-parametric models.

Автор: G.P. Dwyer; R.W. Hafer
Название: The Stock Market: Bubbles, Volatility, and Chaos
ISBN: 9048157811 ISBN-13(EAN): 9789048157815
Издательство: Springer
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Цена: 158380.00 T
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Описание: Proceedings of the Thirteenth Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis

Автор: Fanelli, Viviana
Название: Financial Modelling in Commodity Markets
ISBN: 1138739103 ISBN-13(EAN): 9781138739109
Издательство: Taylor&Francis
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Цена: 148010.00 T
Наличие на складе: Нет в наличии.
Описание: Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets.

Автор: Swishchuk, Anatoliy (university Of Calgary, Alberta, Canada)
Название: Stochastic modelling of big data in finance
ISBN: 1032209267 ISBN-13(EAN): 9781032209265
Издательство: Taylor&Francis
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Цена: 76550.00 T
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Описание: This book provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and algorithmic trading, specifically in limit order books (LOB).

Автор: Fanelli, Viviana
Название: Financial modelling in commodity markets
ISBN: 0367442868 ISBN-13(EAN): 9780367442866
Издательство: Taylor&Francis
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Цена: 50010.00 T
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Описание: Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets.