Advances in Futures and Options Research, 1999 (10): Vol 10 - Rilegato

Rilegato

ISBN 10: 0762303263 ISBN 13: 9780762303267

Casa editrice: Jai, 1999

Riassunto

Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.

Su questo libro

Recensione

Ten papers present research pertaining to futures and options instruments. ... Boyle is at the University of Waterloo. Pennacchi is at the University of Illinois. Ritchken is at Weatherhead School of Management, Case Western Reserve University.
Journal of Economic Literature

Contenuti

Editorial statement. Abstracts. Discrete Parisian and delayed barrier options: a general numerical approach (K.R. Vetzal, P.S. Forsyth). The pricing of double barrier options and their variations (A. Li). Numeraire invariance, change of measure, and pricing by arbitrage in continuous time financial models (P.L. Jørgensen, J. Raaballe). Introducing a twist into finite state Heath-Jarrow-Morton term structure modeling (D. Xu). Wiener chaos and hermite polynomials expansions for pricing and hedging contingent claims (E. Barucci, M. Elvira Mancino). Valuing insurance for defined-benefit pension plans (C.M. Lewis, G.G. Pennacchi). Strategic decisions in ocean shipping with contingent claims (F. dé O. Gonçalves). Optimal conversion terms for a subordinated zero-coupon convertible bond (S.S.A. Low, J. Muthuswamy and E. Terry). The economic significance of the forecast bias of S&P 100 index option implied volatility (J. Fleming). Futures hedging and stochastic volatility (Da-Hsiang Donald Lien).

Dettagli dell'edizione

• Editore: Jai
• Data di pubblicazione: 1999
• Lingua: Inglese
• ISBN 10: 0762303263
• ISBN 13: 9780762303267
• Rilegatura: Copertina rigida
• Numero di pagine: 265
• Redattore: Boyle Phelim, Pennacchi George, Ritchken Peter
• Contatto del produttore: non disponibile
• Persona responsabile: GPSR Kontakt; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Germania