Isbn: 9783790800494 - market expectations and option prices: techniques and applications (9 risultati)

Paperback. Condizione: New. First Edition Thus. Heidelberg [Germany] / New York: Physica-Verlag [Springer], 2003. BRAND NEW in perfect condition. Sharp corners. NO rubbing. NO fading. NO owner's name or bookplate. Fresh, crisp, clean and unmarked. With 64 figures and 13 tables. A volume from the Contributions to Economics series. Bound in the original blue pictorial wraps, stamped in white. From the Preface: "This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft." . First Edition Thus. Softcover. New. Illus. by NOT a library discard. x, 227pp. Great Packaging, Fast Shipping. NOT a library discard (illustratore).…

Condizione: New. In English.

Condizione: New. pp. 244.

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities. . 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model. . . . . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation . 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . . 13 2.4 Summary. 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model . 16 Appendix 2B: Some Further Details on the Replication Strategy . 21 3 Survey of the Related Literature . 23 3.1 The Information Content of Forward and Futures Prices. . . . . 24 3.2 The Information Content of Implied Volatilities . 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density . 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . . . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . . 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium . . . . . . . . . . . . . . . . . . . . . . 45 . . . . . . . 228 pp. Englisch.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexa.…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities. . 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model. . . . . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation . 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . . 13 2.4 Summary. 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model . 16 Appendix 2B: Some Further Details on the Replication Strategy . 21 3 Survey of the Related Literature . 23 3.1 The Information Content of Forward and Futures Prices. . . . . 24 3.2 The Information Content of Implied Volatilities . 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density . 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . . . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . . 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium . . . . . . . . . . . . . . . . . . . . . . 45 . . . . . . . …

Condizione: New. Print on Demand pp. 244 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities. . 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model. . . . . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation . 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . . 13 2.4 Summary. 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model . 16 Appendix 2B: Some Further Details on the Replication Strategy . 21 3 Survey of the Related Literature . 23 3.1 The Information Content of Forward and Futures Prices. . . . . 24 3.2 The Information Content of Implied Volatilities . 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density . 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . . . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . . 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium . . . . . . . . . . . . . . . . . . . . . . 45 . . . . . . .Physica Verlag, Tiergartenstr. 17, 69121 Heidelberg 240 pp. Englisch. …

Condizione: New. PRINT ON DEMAND pp. 244.