Relevant bibliographies by topics / Options (Finance) Derivative securities Finance Martingales (Mathematics)

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  2. Dissertations / Theses
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Academic literature on the topic 'Options (Finance) Derivative securities Finance Martingales (Mathematics)'

Author: Grafiati
Published: 4 June 2021
Last updated: 10 February 2022

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Journal articles on the topic "Options (Finance) Derivative securities Finance Martingales (Mathematics)"

1

Derman, Emanuel, and Iraj Kani. "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility." International Journal of Theoretical and Applied Finance 01, no. 01 (1998): 61–110. http://dx.doi.org/10.1142/s0219024998000059.

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In this paper we present an arbitrage pricing framework for valuing and hedging contingent equity index claims in the presence of a stochastic term and strike structure of volatility. Our approach to stochastic volatility is similar to the Heath-Jarrow-Morton (HJM) approach to stochastic interest rates. Starting from an initial set of index options prices and their associated local volatility surface, we show how to construct a family of continuous time stochastic processes which define the arbitrage-free evolution of this local volatility surface through time. The no-arbitrage conditions are
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Dissertations / Theses on the topic "Options (Finance) Derivative securities Finance Martingales (Mathematics)"

1

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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Glover, Elistan Nicholas. "Analytic pricing of American put options /." 2008. http://eprints.ru.ac.za/1606/.

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Thesis (M.Sc. (Statistics)) - Rhodes University, 2009.<br>A thesis submitted to Rhodes University in partial fulfillment of the requirements for the degree of Master of Science in Mathematical Statistics.
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Okelola, Michael. "Lie group analysis of exotic options." Thesis, 2013. http://hdl.handle.net/10413/10937.

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Exotic options are derivatives which have features that makes them more complex than vanilla traded products. Thus, finding their fair value is not always an easy task. We look at a particular example of the exotic options - the power option - whose payoffs are nonlinear functions of the underlying asset price. Previous analyses of the power option have only obtained solutions using probability methods for the case of the constant stock volatility and interest rate. Using Lie symmetry analysis we obtain an optimal system of the Lie point symmetries of the power option PDE and demonstrate an al
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Books on the topic "Options (Finance) Derivative securities Finance Martingales (Mathematics)"

1

Musiela, Marek. Martingale methods in financial modelling. 2nd ed. Springer, 2010.

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1952-, Rutkowski Marek, ed. Martingale methods in financial modelling. Springer, 1997.

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1952-, Rutkowski Marek, ed. Martingale methods in financial modelling. 2nd ed. Springer, 2005.

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Wilmott, Paul. The mathematics of financial derivatives: A student introduction. Cambridge University Press, 1995.

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Option valuation: An introduction to financial mathematics. Taylor & Francis, 2012.

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An introduction to financial option valuation: Mathematics, stochastics, and computation. Cambridge University Press, 2004.

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Peter, Laurence, ed. Quantitative modeling of derivative securities: From theory to practice. Chapman & Hall/CRC, 2000.

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Concepts and practice of mathematical finance. 2nd ed. Cambridge University Press, 2008.

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The Concepts and practice of mathematical finance. Cambridge University Press, 2003.

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Neftci, Salih N., and Ali Hirsa. Introduction to the Mathematics of Financial Derivatives. Elsevier Science & Technology Books, 2013.

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