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A Risk Neutral Stochastic Implied Volatility Model and Applications: The Dynamics of At-the-Money Implied Volatility with its Applications
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A Risk Neutral Stochastic Implied Volatility Model and Applications: The Dynamics of At-the-Money Implied Volatility with its Applications - livre d'occasion

ISBN: 9783639176261

ID: a9332a688541a65599b8da429fcc25d1

The dynamics of smile surface lead practitioner andresearcher to introduce the randomness in the impliedvolatility, which is are specific in option markets. The monograph develops a risk-neutral stochastic At-the-Money implied volatility model and its applications. Three characteristics of implied volatility are presented. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. We proved that the implied volatility of At-t The dynamics of smile surface lead practitioner andresearcher to introduce the randomness in the impliedvolatility, which is are specific in option markets. The monograph develops a risk-neutral stochastic At-the-Money implied volatility model and its applications. Three characteristics of implied volatility are presented. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. We proved that the implied volatility of At-the-Money options mature immediately should converge to underlying volatility at the rate of time to maturity, which specifies the stochastic process of underlying volatility. Monte Carlo simulation is used to simulate the complex whole system. Skew curve and terminal underlying price distribution are studied. The two model parameters are able to explain market skew phenomena quite well. Barrier option is priced and future implied volatility is forecast off the simulation. The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field., [PU: VDM Verlag Dr. Müller, Saarbrücken]

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A Risk Neutral Stochastic Implied Volatility Model and Applications
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A Risk Neutral Stochastic Implied Volatility Model and Applications - Livres de poche

2009, ISBN: 9783639176261

ID: 1876798&WAN=10022&WBT=28664&WMID=W000000443

2009. ; KT ; He ( ):A Risk Neutral Stochastic Implie The dynamics of smile surface lead practitioner andresearcher to introduce the randomness in the impliedvolatility, which is are specific in option markets. The monograph develops a risk-neutral stochastic At-the-Money implied volatility model and its applications. Three characteristics of implied volatility are presented. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. We proved that the implied volatility of At-the-Money options mature immediately should converge to underlying volatility at the rate of time to maturity, which specifies the stochastic process of underlying volatility. Monte Carlo simulation is used to simulate the complex whole system. Skew curve and terminal underlying price distribution are studied. The two model parameters are able to explain market skew phenomena quite well. Barrier option is priced and future implied volatility is forecast off the simulation. The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field. Buch Taschenbuch

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A Risk Neutral Stochastic Implied Volatility Model and Applications
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A Risk Neutral Stochastic Implied Volatility Model and Applications - Livres de poche

2009

ISBN: 9783639176261

ID: 1876798&WAN=10022&WBT=28664&WMID=W000000443

2009. ; KT ; He ( ):A Risk Neutral Stochastic Implie The dynamics of smile surface lead practitioner andresearcher to introduce the randomness in the impliedvolatility, which is are specific in option markets. The monograph develops a risk-neutral stochastic At-the-Money implied volatility model and its applications. Three characteristics of implied volatility are presented. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. We proved that the implied volatility of At-the-Money options mature immediately should converge to underlying volatility at the rate of time to maturity, which specifies the stochastic process of underlying volatility. Monte Carlo simulation is used to simulate the complex whole system. Skew curve and terminal underlying price distribution are studied. The two model parameters are able to explain market skew phenomena quite well. Barrier option is priced and future implied volatility is forecast off the simulation. The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field. Buch Taschenbuch

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A Risk Neutral Stochastic Implied Volatility Model and Applications - He, Peng
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He, Peng:
A Risk Neutral Stochastic Implied Volatility Model and Applications - Livres de poche

2009, ISBN: 9783639176261

[ED: Softcover], [PU: Vdm Verlag Dr. Müller], The dynamics of smile surface lead practitioner andresearcher to introduce the randomness in the impliedvolatility, which is are specific in option markets. The monograph develops a risk-neutral stochastic At-the-Money implied volatility model and its applications. Three characteristics of implied volatility are presented. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. We proved that the implied volatility of At-the-Money options mature immediately should converge to underlying volatility at the rate of time to maturity, which specifies the stochastic process of underlying volatility. Monte Carlo simulation is used to simulate the complex whole system. Skew curve and terminal underlying price distribution are studied. The two model parameters are able to explain market skew phenomena quite well. Barrier option is priced and future implied volatility is forecast off the simulation. The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field.2009. 68 S.Versandfertig in 3-5 Tagen, [SC: 0.00]

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A Risk Neutral Stochastic Implied Volatility Model and Applications - He (¿), Peng(¿)
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He (¿), Peng(¿):
A Risk Neutral Stochastic Implied Volatility Model and Applications - Livres de poche

2009, ISBN: 363917626X

Edition reliée, ID: 5407000

The Dynamics of At-the-Money Implied Volatility with its Applications - Buch, gebundene Ausgabe, 68 S., Beilagen: Paperback, Erschienen: 2009 VDM Verlag, [PU: VDM Verlag Dr. Müller, Saarbrücken]

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Détails sur le livre
A Risk Neutral Stochastic Implied Volatility Model and Applications
Auteur:

He (¿), Peng(¿)

Titre:

A Risk Neutral Stochastic Implied Volatility Model and Applications

ISBN:

9783639176261

Informations détaillées sur le livre - A Risk Neutral Stochastic Implied Volatility Model and Applications


EAN (ISBN-13): 9783639176261
ISBN (ISBN-10): 363917626X
Version reliée
Livre de poche
Date de parution: 2009
Editeur: VDM Verlag
68 Pages
Poids: 0,118 kg
Langue: eng/Englisch

Livre dans la base de données depuis 07.11.2009 16:03:50
Livre trouvé récemment le 31.08.2016 14:02:35
ISBN/EAN: 9783639176261

ISBN - Autres types d'écriture:
3-639-17626-X, 978-3-639-17626-1

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