Efficient Monte Carlo Barrier Option Pricing When The Underlying Security Price Follows A Jump Diffusion Process
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| 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.
| Author | : |
| Publisher | : |
| Total Pages | : 292 |
| Release | : 2002 |
| Genre | : Derivative securities |
| ISBN | : |
| 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
| Author | : Institute for Operations Research and the Management Sciences. National Meeting |
| Publisher | : |
| Total Pages | : 644 |
| Release | : 2009 |
| Genre | : Industrial management |
| ISBN | : |
| Author | : Ralf Korn |
| Publisher | : CRC Press |
| Total Pages | : 485 |
| Release | : 2010-02-26 |
| Genre | : Business & Economics |
| ISBN | : 1420076191 |
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
| Author | : Stefano M. Iacus |
| Publisher | : John Wiley & Sons |
| Total Pages | : 402 |
| Release | : 2011-02-23 |
| Genre | : Business & Economics |
| ISBN | : 1119990203 |
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
| 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 Cramr?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.
| 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.
| 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.
| 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.
