{"product_id":"exotic-option-pricing-and-adva-wilmott-collection-9780470016848","title":"Exotic Option Pricing and Adva Wilmott Collection","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThis book covers key topics on the subject of exotic option pricing and modeling, including model risk, Monte-Carlo simulation issues, pricing and hedging of American-style exotics, convertible bonds, and more. It will serve as a leading reference for anyone working in probability theory and financial mathematics. .\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eContributors.\u003c\/b\u003e  \u003cp\u003e\u003cb\u003ePreface.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAbout the Editors.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAbout the Contributors.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1. Levy Processes in Finance Distinguished by their Coarse and Fine Path Properties\u003c\/b\u003e \u003ci\u003eAndreas E. Kyprianou and R. Loeffen.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction.\u003c\/p\u003e \u003cp\u003e1.2 Levy Processes.\u003c\/p\u003e \u003cp\u003e1.3 Examples of Levy Processes in finance.\u003c\/p\u003e \u003cp\u003e1.4 Path properties.\u003c\/p\u003e \u003cp\u003e1.5 Examples revisited.\u003c\/p\u003e \u003cp\u003e1.6 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2. Simulation Methods with Levy Processes\u003c\/b\u003e \u003ci\u003eNick Webber.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction.\u003c\/p\u003e \u003cp\u003e2.2 Modelling price and rate movements.\u003c\/p\u003e \u003cp\u003e2.3 A basis for a numerical approach.\u003c\/p\u003e \u003cp\u003e2.4 Constructing bridges for Levy Processes.\u003c\/p\u003e \u003cp\u003e2.5 Valuing discretely reset path-dependant options.\u003c\/p\u003e \u003cp\u003e2.6 Valuing continuously reset path-dependent options.\u003c\/p\u003e \u003cp\u003e2.7 Conclusions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3. Risks in Returns: A Pure Jump Perspective\u003c\/b\u003e \u003ci\u003eHelyette Geman and Dilip B. Madan.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction.\u003c\/p\u003e \u003cp\u003e3.2 CGMY model details.\u003c\/p\u003e \u003cp\u003e3.3 Estimation details.\u003c\/p\u003e \u003cp\u003e3.4 Estimation results.\u003c\/p\u003e \u003cp\u003e3.5 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4. Model Risk for Exotic and Moment Derivatives\u003c\/b\u003e \u003ci\u003eWim Schoutens, Erwin Simons and Jurgen Tistaert.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction.\u003c\/p\u003e \u003cp\u003e4.2 The models.\u003c\/p\u003e \u003cp\u003e4.3 Calibration.\u003c\/p\u003e \u003cp\u003e4.4 Simulation.\u003c\/p\u003e \u003cp\u003e4.5 Pricing of exotic options.\u003c\/p\u003e \u003cp\u003e4.6 Pricing of moment derivatives.\u003c\/p\u003e \u003cp\u003e4.7 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5. Symmetries and Pricing of Exotic Options in Levy Models\u003c\/b\u003e \u003ci\u003eErnst Eberlein and Antonis Papapantoleon.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction.\u003c\/p\u003e \u003cp\u003e5.2 Model and assumptions.\u003c\/p\u003e \u003cp\u003e5.3 General description of the method.\u003c\/p\u003e \u003cp\u003e5.4 Vanilla options.\u003c\/p\u003e \u003cp\u003e5.5 Exotic options.\u003c\/p\u003e \u003cp\u003e5.6 Margrabe-type options.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6. Static Hedging of Asian Options Under Stochastic Volatility Models using Fast Fourier Transform\u003c\/b\u003e \u003ci\u003eHansjorg Albrecher and Wim Schoutens.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction.\u003c\/p\u003e \u003cp\u003e6.2 Stochastic volatility models.\u003c\/p\u003e \u003cp\u003e6.3 Static hedging of Asian options.\u003c\/p\u003e \u003cp\u003e6.4 Numerical Implementation.\u003c\/p\u003e \u003cp\u003e6.5 Numerical illustrations.\u003c\/p\u003e \u003cp\u003e6.6 A model-independent static super-hedge.\u003c\/p\u003e \u003cp\u003e6.7 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7. Impact of Market Crises on Real Options\u003c\/b\u003e \u003ci\u003ePauline Barrieu and Nadine Bellamy.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e7.1 IOntroduction.\u003c\/p\u003e \u003cp\u003e7.2 The model.\u003c\/p\u003e \u003cp\u003e7.3 The real option characteristics.\u003c\/p\u003e \u003cp\u003e7.4 Optimal discount rate and average waiting time.\u003c\/p\u003e \u003cp\u003e7.5 Robustness of the inverstment decision characters.\u003c\/p\u003e \u003cp\u003e7.6 Contiuos models versus discontinuous model.\u003c\/p\u003e \u003cp\u003e7.7 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8. Moment Derivatives and Levy-type Market Completion\u003c\/b\u003e \u003ci\u003eJose Manuel Corcuera, David Nualart and Wim Schoutens.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.2 Market completuion in the descrete-time setting.\u003c\/p\u003e \u003cp\u003e8.3 The Levy market.\u003c\/p\u003e \u003cp\u003e8.4 Enlarging the Levy market model.\u003c\/p\u003e \u003cp\u003e8.5 Arbitrage.\u003c\/p\u003e \u003cp\u003e8.6 Optimal portfolios.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9. Pricing Perpetual American Options Driven by Spectrally One-sided Levy Processes\u003c\/b\u003e \u003ci\u003eTerence Chan.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction.\u003c\/p\u003e \u003cp\u003e9.2 First-passage distributions and other results for spectrally positive Levy.\u003c\/p\u003e \u003cp\u003e9.3 Description of the model, basic definitions and notations.\u003c\/p\u003e \u003cp\u003e9.4 A renewal equation approach to pricing.\u003c\/p\u003e \u003cp\u003e9.5 Explicit pricing formulae for American puts.\u003c\/p\u003e \u003cp\u003e9.6 Some specific examples.\u003c\/p\u003e \u003cp\u003eAppendix: use of fast fourier transform.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eEpilogue.\u003c\/p\u003e \u003cp\u003eFurther references.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10. On Asian Options of American Type\u003c\/b\u003e \u003ci\u003eGoran Peskir and Nadia Uys.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction.\u003c\/p\u003e \u003cp\u003e10.2 Formulation of the problem.\u003c\/p\u003e \u003cp\u003e10.3 The result and proof.\u003c\/p\u003e \u003cp\u003e10.4 Remarks on numerics.\u003c\/p\u003e \u003cp\u003eAppendix.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11. Why be Backward? Forward Equations for American Options\u003c\/b\u003e \u003ci\u003ePeter Carr and Ali Hirsa.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction.\u003c\/p\u003e \u003cp\u003e11.2 Reveiw of the backward free boundary problem.\u003c\/p\u003e \u003cp\u003e11.3 Stationarity and domain extension in the maturity direction.\u003c\/p\u003e \u003cp\u003e11.4 Additivity and domain extension in the strike direction.\u003c\/p\u003e \u003cp\u003e11.5 The forward free boundary problem.\u003c\/p\u003e \u003cp\u003e11.6 Summary and future research.\u003c\/p\u003e \u003cp\u003eAppendix: Discretization of forward equation for American options.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12. Numerical Valuation of American Options Under the CGMY Process\u003c\/b\u003e \u003ci\u003eAriel Almendral.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction.\u003c\/p\u003e \u003cp\u003e12.2 The CGMY process as a Levy process.\u003c\/p\u003e \u003cp\u003e12.3 Numerical Valuation of the American CGMY price.\u003c\/p\u003e \u003cp\u003e12.4 Numerical experiments.\u003c\/p\u003e \u003cp\u003eAppendix: Analytic formula for European option prices.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13. Convertible Bonds: Financial Derivatives of Game Type\u003c\/b\u003e \u003ci\u003eJan Kallsen and Christoph Kuhn.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction.\u003c\/p\u003e \u003cp\u003e13.2 No-arbitrage pricing for game contigent claims.\u003c\/p\u003e \u003cp\u003e13.3 Convertible bonds.\u003c\/p\u003e \u003cp\u003e13.4 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14. The Spread Option Optimal Stopping Game\u003c\/b\u003e \u003ci\u003ePavel V. Gapeev.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction.\u003c\/p\u003e \u003cp\u003e14.2 Formulation of the problem.\u003c\/p\u003e \u003cp\u003e14.3 Solution of the free-boundary problem.\u003c\/p\u003e \u003cp\u003e14.4 Main result and proof.\u003c\/p\u003e \u003cp\u003e14.5 Conclusions.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402255769943,"sku":"9780470016848","price":90.25,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470016848.jpg?v=1730479852","url":"https:\/\/bookcurl.com\/products\/exotic-option-pricing-and-adva-wilmott-collection-9780470016848","provider":"Book Curl","version":"1.0","type":"link"}