Results 221 to 230 of about 2,133 (266)
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Pricing derivatives with fractional volatility
International Journal of Financial Engineering, 2016This paper studies the effect of fractional volatility on path-dependent options, which are highly sensitive to the volatility structure of a targeted underlying asset process. To this end, we propose an approximation formula for average and barrier options when volatility follows a fractional Brownian motion. Furthermore, using the analytical formula,
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2001
The previous chapters consider the risk that a counterparty to a derivative contract defaults on its contractual obligations. Additionally, in Section 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of
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The previous chapters consider the risk that a counterparty to a derivative contract defaults on its contractual obligations. Additionally, in Section 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of
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Pricing Temperature Derivatives under Weather Forecasts
SSRN Electronic Journal, 2018We investigate the pricing of temperature derivatives under weather forecasts modeled by initially enlarged filtrations. For this purpose, we introduce a mean-reverting temperature model with seasonality and derive expressions for the so-called forward temperature.
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This is a masters-level overview of the mathematical concepts needed to fully grasp the art of derivatives pricing, and a must-have for anyone considering a career in quantitative finance in industry or academia. Starting from the foundations of probability, this textbook allows students with limited technical background to build a solid knowledge of ...
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Pricing inflation-indexed derivatives
Quantitative Finance, 2005In this article, we start by briefly reviewing the approach proposed by Jarrow and Yildirim for modelling inflation and nominal rates in a consistent way. Their methodology is applied to the pricing of general inflation-indexed swaps and options.
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2007
Until recently, homeowners had no way to protect the value of their homes against losses that could result from housing market downturns. With the derivatives contracts introduced by the CME last year, homeowners now have some means of protection, and new and better products are more likely to follow from them.
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Until recently, homeowners had no way to protect the value of their homes against losses that could result from housing market downturns. With the derivatives contracts introduced by the CME last year, homeowners now have some means of protection, and new and better products are more likely to follow from them.
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Integrative oncology: Addressing the global challenges of cancer prevention and treatment
Ca-A Cancer Journal for Clinicians, 2022Jun J Mao,, Msce +2 more
exaly
Derivative pricing with options.
2017This thesis is not available on this repository until the author agrees to make it public. If you are the author of this thesis and would like to make your work openly available, please contact us: thesis@repository.cam.ac.uk.
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