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Binomial Option Pricing Model Decision Tree Approach
Microsoft Excel is one of the most powerful and valuable tools available to business users.
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Conditional Moment Matching and Stratified Approximation for Pricing and Hedging Periodic-Premium Variable Annuities
This paper extends the stratified approximation method using lognormal and gamma distributions - first introduced to price Asian options - to derive...
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Telegraph Processes and Option Pricing
This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together...
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Stability Analysis for Pricing European Options Regarding the Interest Rate Generated by the Time Fractional Cox-Ingersoll-Ross Processes
In this paper, we introduce a new methodology for pricing European options when the interest rate is generated by the Time Fractional...
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Efficient Approximations for Utility-Based Pricing
In a context of illiquidity, the reservation price is a well-accepted alternative to the usual martingale approach which does not apply. However,...
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A Non-equilibrium Geometric No-arbitrage Principle
The present paper gets a novel and intimate correspondence between martingale in finances and one-parameter transform group in mathematics. This...
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Financial Modelling Based on Telegraph Processes
This last chapter of the book is devoted to financial applications of the previously described results. After brief preliminaries, the chapter opens...
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Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
Consider an insurer who makes risk-free or risky investments and hence is exposed to both insurance and financial risks. We investigate the interplay...
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Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stop** and Bond Pricing
This paper investigates the hitting time problems of sticky Brownian motion and their applications in optimal stop** and bond pricing. We study the...
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Computational Finance with R
This book prepares students to execute the quantitative and computational needs of the finance industry. The quantitative methods are explained in...
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Bayesian uncertainty quantification of local volatility model
Local volatility is an important quantity in option pricing, portfolio hedging, and risk management. It is not directly observable from the market;...
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Numerical Methods for PDE
The time evolution of prices of different financial quantities is often represented as a partial differential equation (PDE) with independent...
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin...
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Simulating Brownian Motion
Brownian motion and geometric Brownian motion are the most common models encountered in financial problems. In certain cases, it is possible to...
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Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees
We study a portfolio optimization problem involving the loss averse policyholder of a variable annuity with a guaranteed minimum maturity benefit....
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Pricing two-asset alternating barrier options with icicles and their variations
This paper introduces a new class of barrier options and its variations. We call the new class of options as two-asset alternating barrier options,...
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Black–Scholes Option Pricing Model
Simple, generally accepted economic assumptions are insufficient to Black–Scholes Black–Scholes...
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Introduction
In Volume I of this book, we have shown how Excel VBA, Python, and R can be used in financial statistics analysis and portfolio analysis. In this...
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A goodness-of-fit test for copulas based on the collision test
We propose a new goodness-of-fit test for copulas using the collision test for pseudorandom number generators and Voronoi diagrams generated by...
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Outside barrier lookback options with floating strike
This paper introduces a new class of exotic options, lookback outside barrier options with two underlying assets, which combine lookback and barrier...
