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Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2012
ISBN 10: 3659176656 ISBN 13: 9783659176654
Da: Books Puddle, New York, NY, U.S.A.
Condizione: New. pp. 148.
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ISBN 10: 3659176656 ISBN 13: 9783659176654
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. Geometrical Approximation and Perturbative methods for PDEs in Finance | Qunatitative Methods in Finance | Mario Dell'Era | Taschenbuch | 148 S. | Englisch | 2012 | LAP LAMBERT Academic Publishing | EAN 9783659176654 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.
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Aggiungi al carrelloBrossura. Condizione: nuovo. Pisa University Press, 2016. 400pp -- Il progetto "Finanza Quantitativa e Modelli Matematici", introduce ed analizza una serie piuttosto completa di strumenti quantitativi in modo rigoroso e allo stesso tempo didattico, con costante attenzione alla sottostante interpretazione economica. Il libro costituisce un eccellente testo di base per corsi avanzati di Metodi Quantitativi per la Finanza ed un utile complemento ai corsi di Matematica e Teoria della Finanza. Il testo è stato ricavato dalle lezioni del corso di laurea specialistica di Fisica&Finanza tenuto dal prof. G. Curci fisico torico e curato nella prima edizione dal Prof. M. Dell'Era, fisico teorico allievo dello stesso, e coautore nella seconda edizione.
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options. 148 pp. Englisch.
Lingua: Inglese
Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2012
ISBN 10: 3659176656 ISBN 13: 9783659176654
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Aggiungi al carrelloCondizione: New. Print on Demand pp. 148 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.
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Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2012
ISBN 10: 3659176656 ISBN 13: 9783659176654
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Aggiungi al carrelloCondizione: New. PRINT ON DEMAND pp. 148.
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Editore: LAP LAMBERT Academic Publishing Jul 2012, 2012
ISBN 10: 3659176656 ISBN 13: 9783659176654
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 148 pp. Englisch.
Lingua: Inglese
Editore: LAP LAMBERT Academic Publishing, 2012
ISBN 10: 3659176656 ISBN 13: 9783659176654
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options.
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - These notes have been written with the precisely purpose of summarizing the more often encountered and implemented volatility estimation techniques, to describe the realized volatility surface and its term structure, for example in developing Option Pricing libraries.The common and accepted assumptions behind the random fashion, that each quoted and traded asset follows, there are stochastic differential equations (SDEs) characterized by two main terms: one is the drift and the other one is the diffusion term or volatility. If the drift term is set uniquely by the definition of the martingale measure, imposing the drift's value under such risk neutral measure, to be equal to the free interest rate; on the other side, the diffusion term or volatility is not estimated or defined uniquely. Indeed, the latter is estimated involving several different approaches, that over the time have been developed, trying to catch a better fit with the observed options' quotation.
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Aggiungi al carrelloTaschenbuch. Condizione: Neu. Volatility Estimation | Numerical Methods | Mario Dell'Era | Taschenbuch | Englisch | 2024 | Eliva Press | EAN 9789999315869 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.