Relevant bibliographies by topics / Options (Finance) Australia Mathematical models

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  1. Journal articles
  2. Dissertations / Theses
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  4. Book chapters
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Academic literature on the topic 'Options (Finance) Australia Mathematical models'

Author: Grafiati
Published: 10 December 2022
Last updated: 31 July 2025

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Journal articles on the topic "Options (Finance) Australia Mathematical models"

1

CARMONA, RENÉ, and SERGEY NADTOCHIY. "TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION." International Journal of Theoretical and Applied Finance 14, no. 01 (2011): 107–35. http://dx.doi.org/10.1142/s0219024911006280.

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Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of arbitrage in market models. For the sake of illustration, we concentrate on the case when market quotes provide the prices of European call options for a specific set of strikes and maturities. While reviewing our recent results on dynamic local volatility and tangent Lévy models, we present a theory of t
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Goyal, Rajeev. "Mathematics in Finance: Risk Management and Predictive Analytics." Modern Dynamics: Mathematical Progressions 1, no. 3 (2024): 1–5. https://doi.org/10.36676/mdmp.v1.i3.34.

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The application of mathematical principles in finance has revolutionized risk management and predictive analytics, enabling more precise modeling, assessment, and mitigation of financial risks. This paper explores the critical role of mathematics in developing robust financial models that enhance decision-making processes and improve the accuracy of financial forecasts. Key mathematical techniques, including probability theory, statistics, stochastic processes, and optimization, are examined in the context of their application to risk management and predictive analytics. the use of probability
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Loerx, Andre, and Ekkehard W. Sachs. "Model Calibration in Option Pricing." Sultan Qaboos University Journal for Science [SQUJS] 16 (April 1, 2012): 84. http://dx.doi.org/10.24200/squjs.vol17iss1pp84-102.

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We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametriza
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Cheng, Zixuan. "Pricing European Call Options with Visualization Based on the Binomial Model, Monte-Carlo Simulation, and Classical Black-Scholes Model." Highlights in Science, Engineering and Technology 88 (March 29, 2024): 311–17. http://dx.doi.org/10.54097/85byzq20.

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After the emergence of financial derivatives, pricing has been focused by a considerable number of mathematicians. With stochastic analysis and some classic probability theories, many new pricing formulas appeared in the quantitative finance field. The improvement of pricing methods of different financial securities has essentially made prices more precise and more strict, thus greatly promoting the development of modern financial markets. In this research paper, the author reviewed three significant option pricing models in mathematical finance, which are the binomial model, classical Black-S
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Fernández, Lexuri, Peter Hieber, and Matthias Scherer. "Double-barrier first-passage times of jump-diffusion processes." mcma 19, no. 2 (2013): 107–41. http://dx.doi.org/10.1515/mcma-2013-0005.

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Abstract. Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier first-passage time probabilities of a jump-diffusion process with arbitrary jump size distribution; extending single-barrier results by [Journal of Derivatives 10 (2002), 43–54]. In mathematical
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Dubey, Rajesh P., S. Samarawickrama, P. P. Gunaratna, et al. "Mathematical Model Studies for River Regulatory Measures for the Improvement of Draft in Hoogly Estuary, India." International Journal of Engineering and Technologies 2 (October 1, 2014): 1–12. http://dx.doi.org/10.56431/p-740099.

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The Haldia port is situated in the Hooghly estuary, 104 km downstream of Kolkata Port. As a result of high sedimentation, the navigational channel to the Haldia Port is maintained with great amount of dredging (25 MCM per Annum). The paper presents a study carried out to find a solution to improve the channel depth together with minimum maintenance dredging. A desk study was carried out to identify the historical formation of the estuary and the remedial measures implemented in the past. A detailed field investigation was carried out to obtain the relevant data for the calibration of numerical
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HUEHNE, FLORIAN. "DEFAULTABLE LÉVY LIBOR RATES AND CREDIT DERIVATIVES." International Journal of Theoretical and Applied Finance 10, no. 03 (2007): 407–35. http://dx.doi.org/10.1142/s0219024907004172.

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We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance13(2) (2003) 277–300], and the intensity-based defaultable model presented by Bielecki and Rutkowski in [Credit Risk: Modeling, Valuation and Hedging, Springer Finance (Springer-Verlag, 2002)] by embedding it in the defaultable HJM framework introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance1
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Gardini, Matteo, Piergiacomo Sabino, and Emanuela Sasso. "Correlating Lévy processes with self-decomposability: applications to energy markets." Decisions in Economics and Finance 44, no. 2 (2021): 1253–80. http://dx.doi.org/10.1007/s10203-021-00352-9.

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AbstractBased on the concept of self-decomposability, we extend some recent multidimensional Lévy models built using multivariate subordination. Our aim is to construct multivariate Lévy processes that can model the propagation of the systematic risk in dependent markets with some stochastic delay instead of affecting all the markets at the same time. To this end, we extend some known approaches keeping their mathematical tractability, study the properties of the new processes, derive closed-form expressions for their characteristic functions and detail how Monte Carlo schemes can be implement
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Abraham, Rebecca, and Hani El-Chaarani. "A Mathematical Formulation of the Valuation of Ether and Ether Derivatives as a Function of Investor Sentiment and Price Jumps." Journal of Risk and Financial Management 15, no. 12 (2022): 591. http://dx.doi.org/10.3390/jrfm15120591.

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The purpose of this study was to create quantitative models to value ether, ether futures, and ether options based upon the ability of cryptocurrencies to transform existing intermediary-verified payments to non-intermediary-based currency transfers, the ability of ether as a late mover to displace bitcoin as the first mover, and the valuation of ether in the context of investor irrationality models. The risk-averse investor’s utility function is a combination of expectations of the performance of ether, expectations of cryptocurrencies’ transformative power, and expectations of ether supersed
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He, Yifan, and Svetlozar Rachev. "Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry." Journal of Risk and Financial Management 16, no. 7 (2023): 344. http://dx.doi.org/10.3390/jrfm16070344.

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In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied certainty equivalent rate by using put-call parity, and then we selected some company stocks and options; we considered the best-performing and worst-performing company stocks and options from the beginning of 2023 to the present for empirical research. By visualizing the relationship between the time to maturity, moneyness, and implied certainty equivalent rate of these options, we have obtained a universal conclusi
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Dissertations / Theses on the topic "Options (Finance) Australia Mathematical models"

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Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.

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This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods
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Glover, Elistan Nicholas. "Analytic pricing of American put options." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002804.

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American options are the most commonly traded financial derivatives in the market. Pricing these options fairly, so as to avoid arbitrage, is of paramount importance. Closed form solutions for American put options cannot be utilised in practice and so numerical techniques are employed. This thesis looks at the work done by other researchers to find an analytic solution to the American put option pricing problem and suggests a practical method, that uses Monte Carlo simulation, to approximate the American put option price. The theory behind option pricing is first discussed using a discrete mod
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Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options." Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.

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The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the op
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Song, Na, and 宋娜. "Mathematical models and numerical algorithms for option pricing and optimal trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662168.

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Research conducted in mathematical finance focuses on the quantitative modeling of financial markets. It allows one to solve financial problems by using mathematical methods and provides understanding and prediction of the complicated financial behaviors. In this thesis, efforts are devoted to derive and extend stochastic optimization models in financial economics and establish practical algorithms for representing and solving problems in mathematical finance. An option gives the holder the right, but not the obligation, to buy or sell an underlying asset at a specified strike price on or
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Lee, Mou Chin. "An empirical test of variance gamma options pricing model on Hang Seng index options." HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/263.

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Mimouni, Karim. "Three essays on volatility specification in option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103274.

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Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the empirical shortcomings of this model. In the first essay, we investigate alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properti
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Zhao, Jing Ya. "Numerical methods for pricing Bermudan barrier options." Thesis, University of Macau, 2012. http://umaclib3.umac.mo/record=b2592939.

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Welihockyj, Alexander. "The cost of using misspecified models to exercise and hedge American options on coupon bearing bonds." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20532.

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This dissertation investigates the cost of using single-factor models to exercise and hedge American options on South African coupon bearing bonds, when the simulated market term structure is driven by a two-factor model. Even if the single factor models are re-calibrated on a daily basis to the term structure, we find that the exercise and hedge strategies can be suboptimal and incur large losses. There is a vast body of research suggesting that real market term structures are in actual fact driven by multiple factors, so suboptimal losses can be largely reduced by simply employing a well-spe
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蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.

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Nhongo, Tawuya D. R. "Pricing exotic options using C++." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1008373.

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This document demonstrates the use of the C++ programming language as a simulation tool in the efficient pricing of exotic European options. Extensions to the basic problem of simulation pricing are undertaken including variance reduction by conditional expectation, control and antithetic variates. Ultimately we were able to produce a modularized, easily extend-able program which effectively makes use of Monte Carlo simulation techniques to price lookback, Asian and barrier exotic options. Theories of variance reduction were validated except in cases where we used control variates in combinati
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Books on the topic "Options (Finance) Australia Mathematical models"

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Hughston, L. P., and Matheus R. Grasselli. Finance at Fields. World Scientific, 2013.

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Eades, Simon. Options, hedging & arbitrage. McGraw-Hill, 1992.

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Wilmott, Paul. Option pricing: Mathematical models and computation. Oxford Financial Press, 1997.

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Matthias, Ehrhardt, ed. Nonlinear models in mathematical finance: New research trends in option pricing. Nova Science Publishers, 2008.

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Shaffer, Sherrill L. Immunizing options against changes in volatility. Federal Reserve Bank of Philadelphia, 1989.

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Bates, David S. Testing option pricing models. National Bureau of Economic Research, 1995.

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Hecker, Renate. Informationsgehalt von Optionspreisen: Eine empirische Untersuchung der Preisbildung am Markt für Kaufoptionen im Vorfeld abnormaler Kursbewegungen am Aktienmarkt. Physica, 1993.

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Wilmott, Paul. Frequently asked questions in quantitative finance: Including key models, important formulæ, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers' Manifesto and lots more. 2nd ed. Wiley, 2009.

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Lo, Andrew W. Implementing option pricing models when asset returns are predictable. National Bureau of Economic Research, 1994.

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Wilmott, Paul. Paul Wilmott Introduces Quantitative Finance. John Wiley & Sons, Ltd., 2007.

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Book chapters on the topic "Options (Finance) Australia Mathematical models"

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Eberlein, Ernst, Kathrin Glau, and Antonis Papapantoleon. "Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models." In Advanced Mathematical Methods for Finance. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18412-3_8.

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"Barrier Options in the BK and Verhulst Models." In Generalized Integral Transforms in Mathematical Finance. WORLD SCIENTIFIC, 2021. http://dx.doi.org/10.1142/9789811231742_0014.

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"Barrier Options in the Time-Dependent CEV and CIR Models." In Generalized Integral Transforms in Mathematical Finance. WORLD SCIENTIFIC, 2021. http://dx.doi.org/10.1142/9789811231742_0013.

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Davis, Mark H. A. "3. The classical theory of option pricing." In Mathematical Finance: A Very Short Introduction. Oxford University Press, 2019. http://dx.doi.org/10.1093/actrade/9780198787945.003.0003.

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‘The classical theory of option pricing’ explains the theory of arbitrage pricing, which is closely related to the Dutch Book Arguments, but which brings in a new factor: prices in financial markets evolve over time and participants are able to trade at any time, instead of just taking bets and awaiting the result. In addition to the general theory, pricing models and methods have been developed for specific markets—foreign exchange, interest rates, and credit. The binomial and continuous-time mathematical models for stock prices are introduced along with the Black–Scholes formula, the volatil
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"General Introduction." In Stochastic Volatility, edited by Neil Shephard. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199257195.003.0001.

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Abstract Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. In this book I bring together some of the main papers which have influenced the field of the econometrics of stochastic volatility with the hope that this will allow students and scholars to place this literature in a wider context. We will see that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory and econometrics, blending to produce
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Conference papers on the topic "Options (Finance) Australia Mathematical models"

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Shehi, Enkeleda. "Option Pricing Models: The Evolution of the Black-Scholes-Merton Model." In 10th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2024. https://doi.org/10.31410/eraz.2024.157.

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This paper focuses on the development and impact of the Black- Scholes-Merton (Black-Scholes) model in mathematical finance. It begins with an overview of the Black-Scholes model, including its foundational assumptions, the Black-Scholes equation, and its formula for pricing European options. The paper discusses the model’s significant advantages, such as its ability to estimate market volatility and provide a self-replicating hedging strategy. It also addresses its limitations, including assumptions of constant volatility and perfect market conditions, which often do not align with real-world
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