Theory of Financial Risk and Derivative PricingTheory of Financial Risk and Derivative Pricing



This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

Author: Jean-Philippe Bouchaud

Publisher: Cambridge University Press

ISBN: 0521819164

Category:

Page: 379

View: 344

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

Theory of Financial Risk and Derivative PricingTheory of Financial Risk and Derivative Pricing



Annotation. Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and ...

Author: Jean-Philippe Bouchaud

Publisher:

ISBN: OCLC:847450647

Category:

Page:

View: 298

Annotation. Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.

Theory of Financial RisksTheory of Financial Risks



"This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control.

Author: Jean-Philippe Bouchaud

Publisher:

ISBN: 0511046235

Category:

Page: 218

View: 726

"This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.

Theory of Financial Risk and Derivative Pricing Second EditionTheory of Financial Risk and Derivative Pricing Second Edition



This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading ...

Author: Jean-Philippe Bouchaud

Publisher:

ISBN: OCLC:1137340718

Category:

Page: 400

View: 530

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising recent theoretical developments in the field, this second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Advanced Derivatives Pricing and Risk ManagementAdvanced Derivatives Pricing and Risk Management



The book is designed for students in finance programs, particularly financial engineering. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems ...

Author: Claudio Albanese

Publisher: Academic Press

ISBN: 9780120476824

Category:

Page: 420

View: 360

Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.

Trades Quotes and PricesTrades Quotes and Prices



By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of ...

Author: Jean-Philippe Bouchaud

Publisher: Cambridge University Press

ISBN: 9781316998885

Category:

Page:

View: 174

The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

A First Course in Random Matrix TheoryA First Course in Random Matrix Theory



Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.

Author: Marc Potters

Publisher: Cambridge University Press

ISBN: 9781108858274

Category:

Page:

View: 324

The real world is perceived and broken down as data, models and algorithms in the eyes of physicists and engineers. Data is noisy by nature and classical statistical tools have so far been successful in dealing with relatively smaller levels of randomness. The recent emergence of Big Data and the required computing power to analyse them have rendered classical tools outdated and insufficient. Tools such as random matrix theory and the study of large sample covariance matrices can efficiently process these big data sets and help make sense of modern, deep learning algorithms. Presenting an introductory calculus course for random matrices, the book focusses on modern concepts in matrix theory, generalising the standard concept of probabilistic independence to non-commuting random variables. Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.

Financial Risk and DerivativesFinancial Risk and Derivatives



The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science.

Author: Henri Loubergé

Publisher: Springer Science & Business Media

ISBN: 9789400918269

Category:

Page: 137

View: 978

Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance. The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.

Derivative Pricing in Discrete TimeDerivative Pricing in Discrete Time



This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area ...

Author: Nigel J. Cutland

Publisher: Springer Science & Business Media

ISBN: 9781447144076

Category:

Page: 325

View: 908

Derivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets. This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.

Mathematical Models of Financial DerivativesMathematical Models of Financial Derivatives



This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities.

Author: Yue-Kuen Kwok

Publisher: Springer Science & Business Media

ISBN: 3540686886

Category:

Page: 530

View: 144

This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

The Statistical Mechanics of Financial MarketsThe Statistical Mechanics of Financial Markets



This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate ...

Author: Johannes Voit

Publisher: Springer Science & Business Media

ISBN: 9783662044230

Category:

Page: 220

View: 603

A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.

Pricing and Hedging Financial DerivativesPricing and Hedging Financial Derivatives



Both newcomers to derivatives and seasoned practitioners will certainly want a copy of this book in their reference libraries.” —Christopher L. Culp, Adjunct Professor of Finance, The University of Chicago Booth School of ...

Author: Leonardo Marroni

Publisher: John Wiley & Sons

ISBN: 9781119954583

Category:

Page: 264

View: 209

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

Simulation and Optimization in FinanceSimulation and Optimization in Finance



Designed for practitioners and students, this book: Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights both classical ...

Author: Dessislava A. Pachamanova

Publisher: John Wiley & Sons

ISBN: 0470882123

Category:

Page: 896

View: 734

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.

Actuarial FinanceActuarial Finance



Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and ...

Author: Mathieu Boudreault

Publisher: John Wiley & Sons

ISBN: 9781119137023

Category:

Page: 592

View: 266

A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.

Financial Derivatives in Theory and PracticeFinancial Derivatives in Theory and Practice



The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.

Author: Philip Hunt

Publisher: John Wiley and Sons

ISBN: 0470863587

Category:

Page: 468

View: 784

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Pricing DerivativesPricing Derivatives



Proceeding from general information to specific knowledge, this detailed book covers: bull; bull;Part I -- Fundamentals--Price and probability, the market equilibrium measure, price as expectation, changing numeraires, no-arbitrage, the min ...

Author: Ambar Sengupta

Publisher:

ISBN: IND:30000101575482

Category:

Page: 282

View: 150

Irwin Library of Investment and FinancePricing Derivatives provides investors with a clear understandingof derivative pricing models by first focusing on the underlyingmathematics and financial concepts upon which themodels were originally built. Trading consultant ProfessorAmbar Sengupta uses short, to-the-point chapters to examinethe relation between price and probability as well as pricingstructures of all major derivative instruments. Other topicscovered include foundations of stochastic models of pricing,along with methods for establishing optimal prices in terms ofthe max-min principles that underlie game theory.

Derivatives Pricing and ModelingDerivatives Pricing and Modeling



Theory of financial risk and derivative pricing (2nd ed.). Cambridge: Cambridge University Press. Buldyrev, S. V., Parshani, R., Paul, P., Stanley, H. E., ...

Author: Jonathan Batten

Publisher: Emerald Group Publishing

ISBN: 9781780526171

Category:

Page: 450

View: 713

Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.

Financial Risk ManagementFinancial Risk Management



And while a lot of ground is covered in this book, this information will help you appreciate and understand the complex financial issues that today's companies and investors constantly face.

Author: Frank J. Fabozzi

Publisher: John Wiley and Sons

ISBN: 9780470944806

Category:

Page: 23

View: 999

Created by the experienced author team of Frank Fabozzi and Pamela Peterson Drake, Financial Risk Management examines the essential elements of this discipline and makes them accessible to a wide array of readers-from seasoned veterans looking for a review to newcomers needing to get their footing in finance. Financial risk is the exposure of a corporation to an event that can cause a shortfall in a targeted financial measure or value and includes market risk, credit risk, market liquidity risk, operational risk, and legal risk. This material discusses the four key processes in financial risk management: risk identification, risk assessment, risk mitigation, and risk transferring. The process of risk management involves determining which risks to accept, which to neutralize, and which to transfer.

Essential Mathematics for Market Risk ManagementEssential Mathematics for Market Risk Management



Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to ...

Author: Simon Hubbert

Publisher: John Wiley & Sons

ISBN: 9781119979524

Category:

Page: 350

View: 766

Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.