Analysing Intraday Implied Volatility for Pricing Currency Options, Le Thi
Автор: Fengler Matthias R. Название: Semiparametric Modeling of Implied Volatility ISBN: 3540262342 ISBN-13(EAN): 9783540262343 Издательство: Springer Рейтинг: Цена: 7317.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time.This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.
Автор: Burton Roberts Noel Название: Analysing Sentences ISBN: 1138947342 ISBN-13(EAN): 9781138947344 Издательство: Taylor&Francis Рейтинг: Цена: 5358.00 р. Наличие на складе: Нет в наличии.
Описание: This highly successful text has long been considered the standard introduction to the practical analysis of English sentence structure. It covers key concepts such as constituency, category and functions, and also utilises tree diagrams throughout to help the reader visualise the structure of sentences. In this fourth edition, Analysing Sentences has been thoroughly revised and now features a brand new companion website with additional activities and exercises for students and an answer book for the in-text exercises for professors. The extra activities on the website give students practice in identifying syntactic phenomena in running text and will help to deepen understanding of this topic. Accessible and clear, this book is the perfect textbook for readers coming to this topic for the first time. Featuring many in-text, end-of-chapter and Further Exercises, it is suitable for self-directed study as well as for use as core reading on courses.
Описание: Protect yourself from the next financial meltdown with this game-changing primer on financial markets, the economy--and the meteoric rise of carry. The financial shelves are filled with books that explain how popular carry trading has become in recent years. But none has revealed just how significant a role it plays in the global economy--until now. A groundbreaking book sure to leave its mark in the canon of investing literature, The Rise of Carry explains how carry trading has virtually shaped the global economic picture--one of decaying economic growth, recurring crises, wealth disparity, and, in too many places, social and political upheaval. The authors explain how carry trades work--particularly in the currency and stock markets--and provide a compelling case for how carry trades have come to dominate the entire global business cycle. They provide thorough analyses of critical but often overlooked topics and issues, including: - The active role stock prices play in causing recessions--as opposed to the common belief that recessions cause price crashes - The real driving force behind financial asset prices - The ways that carry, volatility selling, leverage, liquidity, and profitability affect the business cycle - How positive returns to carry over time are related to market volatility--and how central bank policies have supercharged these returns Simply put, carry trading is now the primary determinant of the global business cycle--a pattern of long, steady but unspectacular expansions punctuated by catastrophic crises. The Rise of Carry provides foundational knowledge and expert insights you need to protect yourself from what have come to be common market upheavals--as well as the next major crisis.
Описание: The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide.
Описание: This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling.
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