Stochastic Dominance Option Pricing

Author : Stylianos Perrakis
Publisher : Springer
Page : 277 pages
File Size : 52,7 Mb
Release : 2019-05-03
Category : Business & Economics
ISBN : 9783030115906

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Stochastic Dominance Option Pricing by Stylianos Perrakis Pdf

This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.

Author : Andrey M. Lizyayev
Publisher : Rozenberg Publishers
Page : 136 pages
File Size : 45,8 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101875

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Stochastic dominance in portfolio analysis and asset pricing by Andrey M. Lizyayev Pdf

Author : Haim Levy
Publisher : Springer Science & Business Media
Page : 439 pages
File Size : 48,7 Mb
Release : 2006-08-25
Category : Business & Economics
ISBN : 9780387293110

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Stochastic Dominance by Haim Levy Pdf

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Author : Alexander Vollert
Publisher : Springer Science & Business Media
Page : 275 pages
File Size : 51,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461220688

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A Stochastic Control Framework for Real Options in Strategic Evaluation by Alexander Vollert Pdf

The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.

Author : Robert Tompkins
Publisher : Springer
Page : 603 pages
File Size : 55,9 Mb
Release : 2016-07-27
Category : Business & Economics
ISBN : 9781349136360

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Options Explained2 by Robert Tompkins Pdf

Unlike most books on derivative products, Options Explained 2 is a practical guide, covering theoretical concepts only where they are essential to applying options on a wide variety of assets. Written with the emphasis on a practical, straightforward approach, Options Explained succeeds in demystifying what has traditionally been treated as a highly complex product. The second edition also includes over 100 pages of new material, with sections on exotic options, worldwide accounting practices and issues in volatility estimation.

Author : Songsak Sriboonchita,Wing-Keung Wong,Sompong Dhompongsa,Hung T. Nguyen
Publisher : CRC Press
Page : 455 pages
File Size : 55,9 Mb
Release : 2009-10-19
Category : Business & Economics
ISBN : 1420082671

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Stochastic Dominance and Applications to Finance, Risk and Economics by Songsak Sriboonchita,Wing-Keung Wong,Sompong Dhompongsa,Hung T. Nguyen Pdf

Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe

Author : Cheng Few Lee,John C Lee
Publisher : World Scientific
Page : 5053 pages
File Size : 49,7 Mb
Release : 2020-07-30
Category : Business & Economics
ISBN : 9789811202407

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Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by Cheng Few Lee,John C Lee Pdf

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Author : Karl Mosler,Marco Scarsini
Publisher : Springer Science & Business Media
Page : 385 pages
File Size : 43,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783642499722

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Stochastic Orders and Applications by Karl Mosler,Marco Scarsini Pdf

A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.

Author : Robert Tompkins
Publisher : Springer
Page : 257 pages
File Size : 43,9 Mb
Release : 2016-07-27
Category : Business & Economics
ISBN : 9781349128006

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Bund Options by Robert Tompkins Pdf

In 1989 and 1990 the German capital markets reached a milestone as regulations were clarified regarding the use of derivative products for German institutional and private clients. This book analyzes this market and explains its current interest to investors.

Author : Cheng-Few Lee
Publisher : Elsevier
Page : 268 pages
File Size : 46,5 Mb
Release : 1998-08-02
Category : Business & Economics
ISBN : 0762303565

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Advances in Investment Analysis and Portfolio Management by Cheng-Few Lee Pdf

This fifth volume in the series covers a variety of topics in the field of advances in investment and portfolio management.

Author : Anonim
Publisher : Unknown
Page : 48 pages
File Size : 45,8 Mb
Release : 2008
Category : Electronic
ISBN : OCLC:916749394

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Mispricing of SetP 500 Index Options by Anonim Pdf

Author : Cheng Few Lee,John C Lee,Alice C Lee
Publisher : World Scientific
Page : 1001 pages
File Size : 45,5 Mb
Release : 2023-10-16
Category : Business & Economics
ISBN : 9789811280283

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Intermediate Futures And Options: An Active Learning Approach by Cheng Few Lee,John C Lee,Alice C Lee Pdf

Futures and Options are concerned with the valuation of derivatives and their application to hedging and speculating investments. This book contains 22 chapters and is divided into five parts. Part I contains an overview including a general introduction as well as an introduction to futures, options, swaps, and valuation theories. Part II: Forwards and Futures discusses futures valuation, the futures market, hedging strategies, and various types of futures. Part III: Option Theories and Applications includes both the basic and advanced valuation of options and option strategies in addition to index and currency options. Part IV: Advanced Analyses of Options takes a look at higher level strategies used to quantitatively approach the analysis of options. Part V: Special Topics of Options and Futures covers the applications of more obscure and alternative methods in derivatives as well as the derivation of the Black-Scholes Option Pricing Model.This book applies an active interdisciplinary approach to presenting the material; in other words, three projects involving the use of real-world financial data on derivative, in addition to homework assignments, are made available for students in this book.

Author : John R. Birge,Vadim Linetsky
Publisher : Elsevier
Page : 1026 pages
File Size : 40,9 Mb
Release : 2007-11-16
Category : Business & Economics
ISBN : 0080553257

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Handbooks in Operations Research and Management Science: Financial Engineering by John R. Birge,Vadim Linetsky Pdf

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Author : Yoram Kroll
Publisher : Unknown
Page : 128 pages
File Size : 46,9 Mb
Release : 1979
Category : Finance
ISBN : NWU:35556025905332

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Stochastic Dominance by Yoram Kroll Pdf

Author : Ildar Batyrshin
Publisher : Springer Science & Business Media
Page : 374 pages
File Size : 51,8 Mb
Release : 2007-03-15
Category : Computers
ISBN : 9783540362449

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Perception-based Data Mining and Decision Making in Economics and Finance by Ildar Batyrshin Pdf

The primary goal of this book is to present to the scientific and management communities a selection of applications using recent Soft Computing (SC) and Computing with Words and Perceptions (CWP) models and techniques meant to solve some economics and financial problems that are of utmost importance. The book starts with a coverage of data mining tools and techniques that may be of use and significance for economic and financial analyses and applications. Notably, fuzzy and natural language based approaches and solutions for a more human consistent dealing with decision support, time series analysis, forecasting, clustering, etc. are discussed. The second part deals with various decision making models, particularly under probabilistic and fuzzy uncertainty, and their applications in solving a wide array of problems including portfolio optimization, option pricing, financial engineering, risk analysis etc. The selected examples could also serve as a starting point or as an opening out, in the SC and CWP techniques application to a wider range of problems in economics and finance.