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Option Pricing with Long Memory Stochastic Volatility Models

It is now known that long memory stochastic volatility models can capture the well-documented evidence of volatility persistence. However;

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Parameter Estimation in Stochastic Volatility Models

well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory;

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Analytically Tractable Stochastic Stock Price Models

stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing;

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Option Pricing Models and Volatility Using ExcelVBA

Praise for Option Pricing Models & Volatility Using Excel-VBA Excel is already a great pedagogical tool for teaching option valuation and;

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Advanced Equity Derivatives

of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility;

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Option Pricing and Estimation of Financial Models with R

models, Levy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and;

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Nonlinear Option Pricing

regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the;

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Foreign Exchange Option Pricing

* Adjustment for settlement and delayed delivery of options * Pricing of vanillas and barrier options under the volatility smile * Barrier bending for;

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Volatility And Correlation

includes a critical examination of the 'perfect--replication' approach to derivatives pricing, with special attention given to exotic options; a;

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Analysis, Geometry, and Modeling in Finance

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and;

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Option Volatility & Pricing Workbook: Practicing Advanced Trading Strategies and Techniques

. Filled with hands-on exercises designed to dramatically increase your knowledge and build your confidence, The Option Volatility and Pricing;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into;

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Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided;

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Volatility Trading & Website 2nd Ed

quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach;

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Option Valuation under Stochastic Volatility II

Option Valuation Under Stochastic Volatility II is een boek van Alan L Lewis;

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A Structural Framework for the Pricing of Corporate Securities

. Thecreditriskliteratureevenadoptedthisparticularterminologyto 2 categorize its models. Whereas reduced form models take each corpo- 1 See e.g. Stein and Stein (1991) for a stochastic volatility model;

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Introduction to Option Pricing Theory

approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its;

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Market Risk Analysis

and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk;

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Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing

unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps;

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Heston Model And Its Extensions In Matlab And C#

Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the;

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Stochastic Analysis, Stochastic Systems, And Applications To Finance

filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis;

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Applications of Fourier Transform to Smile Modeling

models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding;

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Stochastic Methods in Asset Pricing

stochastic calculus with jumps and Levy processes. For asset pricing, the book begins with a brief overview of risk preferences and general;

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Nonlinear Economic Dynamics and Financial Modelling

-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives;

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A Practical Guide To Forecasting Financial Market Volatility

, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the;

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Financial Asset Pricing

stochastic price models for commodities; computation finance for stochastic volatility and correlation; and consumption-based asset pricing model;

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Introduction to Stochastic Calculus Applied to Finance

cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal;

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