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Financial engineering

Author: John R Birge; Vadim Linetsky
Publisher: Amsterdam ; London : North-Holland, 2008.
Series: Handbooks in operations research and management science, v. 15.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

The goals of financial engineering research are to develop realistic stochastic models describing dynamics of financial risk variables. This title describes developments in this field in the areas of  Read more...

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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: John R Birge; Vadim Linetsky
ISBN: 9780444517814 0444517812
OCLC Number: 181420877
Description: xii, 1014 pages : illustrations ; 25 cm.
Contents: Cover --
Contents --
Part I: Introduction --
Introduction to the Handbook of FinancialEngineering --
References --
Chapter 1. An Introduction to Financial Asset Pricing --
1. Introduction --
2. Introduction to derivatives and arbitrage --
3. The core of the theory --
4. American type derivatives --
Acknowledgements --
References --
Part II: Derivative Securities: Models and Methods --
Chapter 2. Jump-Diffusion Models for Asset Pricing in Financial Engineering --
1. Introduction --
2. Empirical stylized facts --
3. Motivation for jump-diffusion models --
4. Equilibrium for general jump-diffusion models --
5. Basic setting for option pricing --
6. Pricing call and put option via Laplace transforms --
7. First passage times --
8. Barrier and lookback options --
9. Analytical approximations for American options --
10. Extension of the jump-diffusion models to multivariate cases --
References --
Chapter 3. Modeling Financial Security Returns Using Lévy Processes --
1. Introduction --
2. Modeling return innovation distribution using Lévy processes --
3. Generating stochastic volatility by applying stochastic time changes --
4. Modeling financial security returns with time-changed Lévy processes --
5. Option pricing under time-changed Lévy processes --
6. Estimating Lévy processes with and without time changes --
7. Concluding remarks --
Acknowledgements --
References --
Chapter 4. Pricing with Wishart Risk Factors --
1. Introduction --
2. Wishart process --
3. Pricing --
4. Examples --
5. Concluding remarks --
References --
Chapter 5. Volatility --
1. Introduction --
2. A model of price formation with microstructure effects --
3. The variance of the equilibrium price --
4. Solutions to the inconsistency problem --
5. Equilibrium price variance estimation: directions for future work --
6. The variance of microstructure noise: a consistency result --
7. The benefit of consistency: measuring market quality --
8. Volatility and asset pricing --
Acknowledgements --
References --
Chapter 6. Spectral Methods in Derivatives Pricing --
1. Introduction --
2. Self-adjoint semigroups in Hilbert spaces --
3. One-dimensional diffusions: general results --
4. One-dimensional diffusions: a catalog of analytically tractable models --
5. Symmetric multi-dimensional diffusions --
6. Introducing jumps and stochastic volatility via time changes --
7. Conclusion --
References --
Chapter 7. Variational Methods in Derivatives Pricing --
1. Introduction --
2. European and barrier options in the Black-Scholes-Merton model --
3. American options in the Black-Scholes-Merton model --
4. General multi-dimensional jump-diffusion models --
5. Examples and applications --
6. Summary --
References --
Chapter 8. Discrete Barrier and Lookback Options --
1. Introduction --
2. A representation of barrier options via the change of numeraire argument --
3. Convolution, Broadie-Yamamoto method via the fast Gaussian transform, and Feng-Linetsky method via Hilbert t.
Series Title: Handbooks in operations research and management science, v. 15.
Responsibility: edited by John R. Birge, Vadim Linetsky.

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