Pricing Models Of Volatility Products And Exotic Variance Derivatives

Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584275
Total Pages : 402 pages
Book Rating : 4.71/5 ( download)

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Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Author : Mohamed Bouzoubaa
Publisher : John Wiley & Sons
ISBN 13 : 047071008X
Total Pages : 405 pages
Book Rating : 4.81/5 ( download)

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Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-03-30 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.

Author : Jerome Yen
Publisher : Routledge
ISBN 13 : 1317638891
Total Pages : 150 pages
Book Rating : 4.96/5 ( download)

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Download or read book Emerging Financial Derivatives written by Jerome Yen and published by Routledge. This book was released on 2014-11-27 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exotic options and structured products are two of the most popular financial products over the past ten years and will soon become very important to the emerging markets, especially China. This book first discusses the products' recent development in the world and provides comprehensive overview of the major products. The book also discusses the risks of issuing and buying such products as well as the techniques to price them and to assess the risks. Volatility is the most important factor in determining the return and risk. Therefore, significant part of the book's content discusses how we can measure the volatility by using local and stochastic volatility models — Heston Model and Dupire Model, the volatility surface, the term structure of volatility, variance swaps, and breakeven volatility. The book introduces a set of dimensions which can be used to describe structured products to help readers to classify them. It also describes the more commonly traded exotic options with details. The book discusses key features of each exotic option which can be used to develop structured products and covers their pricing models and when to issue such products that contain such exotic options. This book contains several case studies about how to use the models or techniques to price and hedge risks. These case analyses are illuminating.

Author : Mondher Bellalah
Publisher : World Scientific
ISBN 13 : 9812797475
Total Pages : 617 pages
Book Rating : 4.76/5 ( download)

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Download or read book Exotic Derivatives and Risk written by Mondher Bellalah and published by World Scientific. This book was released on 2009 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Author : Sebastien Bossu
Publisher : John Wiley & Sons
ISBN 13 : 1118750969
Total Pages : 180 pages
Book Rating : 4.64/5 ( download)

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Download or read book Advanced Equity Derivatives written by Sebastien Bossu and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.72/5 ( download)

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Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.46/5 ( download)

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Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

Author : Leonardo Marroni
Publisher : John Wiley & Sons
ISBN 13 : 1119954584
Total Pages : 277 pages
Book Rating : 4.83/5 ( download)

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Download or read book Pricing and Hedging Financial Derivatives written by Leonardo Marroni and published by John Wiley & Sons. This book was released on 2014-06-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code

Author : Anatoliy Swishchuk
Publisher : CRC Press
ISBN 13 : 1000776808
Total Pages : 305 pages
Book Rating : 4.05/5 ( download)

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Download or read book Stochastic Modelling of Big Data in Finance written by Anatoliy Swishchuk and published by CRC Press. This book was released on 2022-11-08 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Modelling of Big Data in Finance 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), and shows how those models can be applied to different datasets to describe the dynamics of LOB, and to figure out which model is the best with respect to a specific data set. The results of the book may be used to also solve acquisition, liquidation and market making problems, and other optimization problems in finance. Features Self-contained book suitable for graduate students and post-doctoral fellows in financial mathematics and data science, as well as for practitioners working in the financial industry who deal with big data All results are presented visually to aid in understanding of concepts Dr. Anatoliy Swishchuk is a Professor in Mathematical Finance at the Department of Mathematics and Statistics, University of Calgary, Calgary, AB, Canada. He got his B.Sc. and M.Sc. degrees from Kyiv State University, Kyiv, Ukraine. He earned two doctorate degrees in Mathematics and Physics (PhD and DSc) from the prestigious National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine, and is a recipient of NASU award for young scientist with a gold medal for series of research publications in random evolutions and their applications. Dr. Swishchuk is a chair and organizer of finance and energy finance seminar ‘Lunch at the Lab’ at the Department of Mathematics and Statistics. Dr. Swishchuk is a Director of Mathematical and Computational Finance Laboratory at the University of Calgary. He was a steering committee member of the Professional Risk Managers International Association (PRMIA), Canada (2006-2015), and is a steering committee member of Global Association of Risk Professionals (GARP), Canada (since 2015). Dr. Swishchuk is a creator of mathematical finance program at the Department of Mathematics & Statistics. He is also a proponent for a new specialization “Financial and Energy Markets Data Modelling” in the Data Science and Analytics program. His research areas include financial mathematics, random evolutions and their applications, biomathematics, stochastic calculus, and he serves on editorial boards for four research journals. He is the author of more than 200 publications, including 15 books and more than 150 articles in peer-reviewed journals. In 2018 he received a Peak Scholar award.

Author : Mladen Victor Wickerhauser
Publisher : CRC Press
ISBN 13 : 1000778819
Total Pages : 305 pages
Book Rating : 4.16/5 ( download)

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Download or read book Introducing Financial Mathematics written by Mladen Victor Wickerhauser and published by CRC Press. This book was released on 2022-11-09 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Financial Mathematics: Theory, Binomial Models, and Applications seeks to replace existing books with a rigorous stand-alone text that covers fewer examples in greater detail with more proofs. The book uses the fundamental theorem of asset pricing as an introduction to linear algebra and convex analysis. It also provides example computer programs, mainly Octave/MATLAB functions but also spreadsheets and Macsyma scripts, with which students may experiment on real data.The text's unique coverage is in its contemporary combination of discrete and continuous models to compute implied volatility and fit models to market data. The goal is to bridge the large gaps among nonmathematical finance texts, purely theoretical economics texts, and specific software-focused engineering texts.