Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process
Author: Sheldon Ross
Publisher:
Total Pages:
Release: 2013
Genre:
ISBN:

We present efficient simulation procedures for pricing barrier options when the underlying security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in the same setting, but no variance reduction was introduced. We improve upon Metwally and Atiya's method by innovative applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical examples show that our proposed Monte Carlo procedures lead to substantial variance reduction as well as a reduction in computing time.

INFORMS Annual Meeting

INFORMS Annual Meeting
Author: Institute for Operations Research and the Management Sciences. National Meeting
Publisher:
Total Pages: 644
Release: 2009
Genre: Industrial management
ISBN:

Financial Modelling with Jump Processes

Financial Modelling with Jump Processes
Author: Peter Tankov
Publisher: CRC Press
Total Pages: 552
Release: 2003-12-30
Genre: Business & Economics
ISBN: 1135437947

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

The Complete Guide to Option Pricing Formulas

The Complete Guide to Option Pricing Formulas
Author: Espen Gaarder Haug
Publisher: Professional Finance & Investment
Total Pages: 586
Release: 2007-01-08
Genre: Business & Economics
ISBN:

Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.

Monte Carlo Simulation and Finance

Monte Carlo Simulation and Finance
Author: Don L. McLeish
Publisher: John Wiley & Sons
Total Pages: 308
Release: 2011-09-13
Genre: Business & Economics
ISBN: 1118160940

Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.

Ruin Probabilities

Ruin Probabilities
Author: S?ren Asmussen
Publisher: World Scientific
Total Pages: 621
Release: 2010
Genre: Mathematics
ISBN: 9814282529

The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

Systemic Contingent Claims Analysis

Systemic Contingent Claims Analysis
Author: Mr.Andreas A. Jobst
Publisher: International Monetary Fund
Total Pages: 93
Release: 2013-02-27
Genre: Business & Economics
ISBN: 1475557531

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.

Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in Financial Engineering
Author: Paul Glasserman
Publisher: Springer Science & Business Media
Total Pages: 603
Release: 2013-03-09
Genre: Mathematics
ISBN: 0387216170

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Approximation Theory and Approximation Practice, Extended Edition

Approximation Theory and Approximation Practice, Extended Edition
Author: Lloyd N. Trefethen
Publisher: SIAM
Total Pages: 375
Release: 2019-01-01
Genre: Mathematics
ISBN: 1611975948

This is a textbook on classical polynomial and rational approximation theory for the twenty-first century. Aimed at advanced undergraduates and graduate students across all of applied mathematics, it uses MATLAB to teach the field’s most important ideas and results. Approximation Theory and Approximation Practice, Extended Edition differs fundamentally from other works on approximation theory in a number of ways: its emphasis is on topics close to numerical algorithms; concepts are illustrated with Chebfun; and each chapter is a PUBLISHable MATLAB M-file, available online. The book centers on theorems and methods for analytic functions, which appear so often in applications, rather than on functions at the edge of discontinuity with their seductive theoretical challenges. Original sources are cited rather than textbooks, and each item in the bibliography is accompanied by an editorial comment. In addition, each chapter has a collection of exercises, which span a wide range from mathematical theory to Chebfun-based numerical experimentation. This textbook is appropriate for advanced undergraduate or graduate students who have an understanding of numerical analysis and complex analysis. It is also appropriate for seasoned mathematicians who use MATLAB.