1  96
 Lai, T. L.
 Stanford, Calif. : Department of Statistics, Stanford University, [2006]
 Description
 Book — 27 p. ; 28 cm.
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Online 3. Myron Scholes : An Oral History [2020]
 Scholes, Myron S. (Interviewee)
 Stanford (Calif.) : Stanford Historical Society, June 29, 2020  20200702
 Description
 Video — 2 video files; 2 audio files; 1 text file
 Summary

Myron Scholes, the Frank E. Buck Professor of Finance, Emeritus at the Stanford Graduate School of Business, shares memories of his upbringing, education, and research career, reflecting on the importance of prices, constraints, option pricing technology, risk management, and more. Scholes speaks about his childhood in Timmins, Ontario, Canada, his family’s department store business, and how learning to program computers at the University of Chicago shaped his future career in finance and economics. Scholes highlights colleagues who inspired his work, including Merton Miller, Eugene Fama, Milton Friedman, and George Stigler. He discusses his dissertation research on security prices at the University of Chicago, his early academic positions at MIT and Chicago, and meeting Fischer Black, with whom he developed the BlackScholes options pricing model. He recalls the circumstances that led him to join the Stanford faculty and speaks about his work with Mark Wolfson on the impact of taxes on business behavior, the impact of winning the Nobel Prize, and his involvement with the LongTerm Capital Management.
 Digital collection
 Stanford Historical Society Oral History Program interviews, 19992022
Online 4. Myron Scholes : An Oral History [2020]
 Scholes, Myron S. (Interviewee)
 Stanford (Calif.) : Stanford Historical Society, June 29, 2020  20200702
 Description
 Book — 1 text file
 Summary

Myron Scholes, the Frank E. Buck Professor of Finance, Emeritus at the Stanford Graduate School of Business, shares memories of his upbringing, education, and research career, reflecting on the importance of prices, constraints, option pricing technology, risk management, and more. Scholes speaks about his childhood in Timmins, Ontario, Canada, his family’s department store business, and how learning to program computers at the University of Chicago shaped his future career in finance and economics. Scholes highlights colleagues who inspired his work, including Merton Miller, Eugene Fama, Milton Friedman, and George Stigler. He discusses his dissertation research on security prices at the University of Chicago, his early academic positions at MIT and Chicago, and meeting Fischer Black, with whom he developed the BlackScholes options pricing model. He recalls the circumstances that led him to join the Stanford faculty and speaks about his work with Mark Wolfson on the impact of taxes on business behavior, the impact of winning the Nobel Prize, and his involvement with the LongTerm Capital Management.
 Digital collection
 Stanford Historical Society Oral History Program interviews, 19992022
Online 5. Efficient valuation of American floating strike lookback options [2004]
 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2004.
 Description
 Book — 1 online resource (34 pages)
 Also online at

 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2004.
 Description
 Book — 34 p. ; 28 cm.
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 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2002.
 Description
 Book — 19 leaves : ill. ; 28 cm.
 Online
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260266  Inlibrary use 
 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2002.
 Description
 Book — 1 online resource (19 pages)
 Also online at

Online 9. A new approach to singular stochastic control in optimal hedging and investmentconsumption under transaction costs [2006]
 Lai, T. L.
 Stanford, Calif. : Department of Statistics, Stanford University, [2006]
 Description
 Book — 1 online resource (28 pages)
 Also online at
 Lai, T. L.
 Stanford, Calif. : Department of Statistics, Stanford University, [2006]
 Description
 Book — 28 p. ; 28 cm.
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 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2001.
 Description
 Book — 20 leaves ; 28 cm.
 Online
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Online 12. Exercise regions and efficient valuation of American lookback options [2001]
 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2001.
 Description
 Book — 1 online resource (20 pages)
 Also online at

13. Singular stochastic control and a modified BlackScholas theory incorporating transaction costs [2004]
 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2004.
 Description
 Book — 22 p. [5] ; 28 cm.
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Online 14. Singular stochastic control and a modified blackscholas theory incorporating transaction costs [2004]
 Lai, T. L.
 Stanford, Calif. : Dept. of Statistics, Stanford University, 2004.
 Description
 Book — 1 online resource (22 pages)
 Also online at

 Hernández Trillo, Fausto.
 México, D.F. : Centro de Investigación y Docencia Económicas, c2000.
 Description
 Book — 23 leaves : ill. ; 28 cm.
 Online
 Ohnsorge, Franziska L.
 Washington, D.C. : The World Bank, 2016.
 Description
 Book — 1 online resource (24 p.)
 Summary

This paper presents a procedure to construct an asymmetric fan chart of risks around global growth forecasts. The distribution of risks around global growth forecasts is estimated by weighting information extracted from option pricing and surveybased measures of risk factors of global growth. The weights are estimated using a vector autoregression analysis. The empirical estimates indicate that forecast uncertainty has increased since January 2016, while the balance of risks to global growth has tilted to the downside.
 Description
 Book
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18. Applied Probability and Stochastic Processes [2016]
 Beichelt, Frank, author.
 Second edition.  Boca Raton, FL : Chapman and Hall/CRC, [2018].
 Description
 Book — 1 online resource (576 pages) : 139 illustrations, text file, PDF
 Summary

 PROBABILITY THEORYRANDOM EVENTS AND THEIR PROBABILITIESRANDOM EXPERIMENTS RANDOM EVENTS PROBABILITY CONDITIONAL PROBABILITY AND INDEPENDENCE OF RANDOM EVENTS   ONEDIMENSIONAL RANDOM VARIABLESMOTIVATION AND TERMINOLOGY DISCRETE RANDOM VARIABLES CONTINUOUS RANDOM VARIABLES MIXTURES OF RANDOM VARIABLES GENERATING FUNCTIONS   MULTIDIMENSIONAL RANDOM VARIABLESTWODIMENSIONAL RANDOM VARIABLES nDIMENSIONAL RANDOM VARIABLES   FUNCTIONS OF RANDOM VARIABLESFUNCTIONS OF ONE RANDOM VARIABLE FUNCTIONS OF SEVERAL RANDOM VARIABLES SUMS OF RANDOM VARIABLES   INEQUALITIES AND LIMIT THEOREMSINEQUALITIES LIMIT THEOREMS   STOCHASTIC PROCESSESBASICS OF STOCHASTIC PROCESSESMOTIVATION AND TERMINOLOGY CHARACTERISTICS AND EXAMPLES CLASSIFICATION OF STOCHASTIC PROCESSES TIME SERIES IN DISCRETE TIME   RANDOM POINT PROCESSESBASIC CONCEPTS POISSON PROCESSES RENEWAL PROCESSES   DISCRETETIME MARKOV CHAINSFOUNDATIONS AND EXAMPLES CLASSIFICATION OF STATES LIMIT THEOREMS AND STATIONARY DISTRIBUTION BIRTH AND DEATH PROCESSES DISCRETETIME BRANCHING PROCESSES   CONTINUOUSTIME MARKOV CHAINSBASIC CONCEPTS AND EXAMPLES TRANSITION PROBABILITIES AND RATES STATIONARY STATE PROBABILITIES SOJOURN TIMES IN PROCESS STATES CONSTRUCTION OF MARKOV SYSTEMS BIRTH AND DEATH PROCESSES APPLICATIONS TO QUEUEING MODELS SEMIMARKOV CHAINS   MARTINGALESDISCRETETIME MARTINGALES CONTINUOUSTIME MARTINGALES   BROWNIAN MOTIONINTRODUCTION PROPERTIES OF THE BROWNIAN MOTION MULTIDIMENSIONAL AND CONDITIONAL DISTRIBUTIONS FIRST PASSAGE TIMESTRANSFORMATIONS OF THE BROWNIAN MOTION   SPECTRAL ANALYSIS OF STATIONARY PROCESSESFOUNDATIONS PROCESSES WITH DISCRETE SPECTRUM PROCESSES WITH CONTINUOUS SPECTRUM   REFERENCES  INDEX   Exercises appear at the end of each chapter.
19. Indexoption pricing with stochastic volatility and the value of accurate variance forecasts [1993]
 Engle, R. F. (Robert F.)
 Cambridge, MA : National Bureau of Economic Research, [1993]
 Description
 Book — 29 p. : ill. ; 22 cm.
 Online
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H62.5 .U5 N35 NO.4519  Available 
20. Marketconform valuation of options [2006]
 Herwig, Tobias.
 Berlin ; New York : Springer, c2006.
 Description
 Book — viii, 104 p. : ill. ; 24 cm.
 Summary

 Introduction. Construction of ArbitrageFree Implied Trees: A New Approach. MarketConform Option Valuation: An Empirical Assessment of Alternative Approaches. MarketConform Valuation of AmericanStyle Options via Monte Carlo Simulation. Synopsis.
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HG6024 .A3 H47 2006  Available 
21. Option pricing : theory and applications [1983]
 Lexington, Mass. : Lexington Books, c1983.
 Description
 Book — xi, 237 p. : ill. ; 24 cm.
 Online
22. Girsanov, numeraires, and all that [2022]
 Hagan, Patrick S., author.
 Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2022.
 Description
 Book — 1 online resource.
 Summary

 1. Introduction
 2. Girsanov's theorem
 3. Arbitrage asset pricing in a nutshell
 4. Riskless bond numeraires and associated EMMs
 5. Change of numeraire in interest rate and FX models
 6. Incomplete markets.
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23. The BlackScholes model [2012]
 Capiński, Marek, 1951
 Cambridge, UK ; New York : Cambridge University Press, 2012.
 Description
 Book — ix, 168 p. : ill. ; 23 cm.
 Summary

 Preface
 1. Introduction
 2. Strategies and riskneutral probability
 3. Option pricing and hedging
 4. Various extensions and applications
 5. Pathdependent options
 6. General models
 Index.
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 Szpiro, George, 1950
 New York : Basic Books, c2011.
 Description
 Book — xiv, 298 p. ; 25 cm.
 Summary

 Flowers and spices
 In the beginning
 From rags to riches
 The banker's secretary
 The spurned secretary
 Botany, physics, and chemistry
 Disco dancers and strobe lights
 The overlooked thesis
 Another pioneer
 Measuring the immeasurable
 Accounting for randomness
 The sealed envelope
 The utility of logarithms
 The Nobelists
 The three musketeers
 The higher they climb
 The harder they fall
 The long tail.
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HG6024 .A3 S97 2011  Unknown 
 Szpiro, George, 1950
 New York : Basic Books, c2011.
 Description
 Book — xiv, 298 p. : ill ; 25 cm.
 Summary

Options have been traded for hundreds of years, but investment decisions were based on gut feelings until the Nobel Prizewinning discovery of the BlackScholes options pricing model in 1973 ushered in the era of the "quants." Wall Street would never be the same. In Pricing the Future, financial economist George G. Szpiro tells the fascinating stories of the pioneers of mathematical finance who conducted the search for the elusive options pricing formula. From the broker's assistant who published the first mathematical explanation of financial markets to Albert Einstein and other scientists who looked for a way to explain the movement of atoms and molecules, Pricing the Future retraces the historical and intellectual developments that ultimately led to the widespread use of mathematical models to drive investment strategies on Wall Street.
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26. Advanced option pricing models [2005]
 Katz, Jeffrey Owen.
 New York : McGrawHill, 2005.
 Description
 Book — 437 p. : ill ; 24 cm.
 Summary

 Ch. 1. A review of options basics
 Ch. 2. Fair value and efficient price
 Ch. 3. Popular option pricing models
 Ch. 4. Statistical moments of stock returns
 Ch. 5. Estimating future volatility
 Ch. 6. Pricing options with conditional distributions
 Ch. 7. Neural networks, polynomial regressions, and hybrid pricing models
 Ch. 8. Volatility revisited
 Ch. 9. Option prices in the marketplace
 Notice : companion software available.
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27. Computational methods for option pricing [2005]
 Achdou, Yves.
 Philadelphia : Society for Industrial and Applied Mathematics, c2005.
 Description
 Book — xviii, 297 p. : ill ; 26 cm.
 Summary

 Preface
 1. Option pricing
 2. BlackScholes equation
 mathematical analysis
 3. Finite differences
 4. The finite element method
 5. Adaptive mesh refinement
 6. American options
 7. Sensitivities and calibration
 8. Calibration of local volatility with European options
 9. Calibration of local volatility with American options
 Bibliography
 Index.
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HG6024.A3 A26 2005  Available 
 Sundkvist, Kim.
 Helsingfors : Swedish School of Economics and Business Administration, 2001.
 Description
 Book — 152 p. : ill. ; 25 cm.
 Online
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HB1.A1 E566 NO.93  Available 
 Pan, Jun.
 2000.
 Description
 Book — 127 leaves : ill. ; 28 cm.
 Online
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HF5006.S7 P29  Inlibrary use 
 Zhu, Jianwei, 1970
 Berlin ; New York : Springer, 2000.
 Description
 Book — 170 p. : ill.
 Summary

 Introduction. Modular Pricing of Options. Extensions of MPO to Exotic Options. Conclusions.
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 Online
 Chriss, Neil, 1967
 Chicago : Irwin, c1997.
 Description
 Book — viii, 496 p. : ill. ; 24 cm.
 Summary

 Stocks, Options, and Futures. Fundamental Mathematical Concepts. The Geometric Brownian Motion Model of Price Movements. The BlackScholes Formula. More on the BlackScholes Formula. Binomial Trees. Basic Option Pricing with Binomial Trees. The Volatility Smile. Implied Volatility Trees. Implied Binomial Trees. Pricing Barrier Options in the Presence of the Smile.
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HG6024.A3 C495 1997  Unknown 
 Chriss, Neil, 1967
 Boston, Mass. : McGrawHill, c1997.
 Description
 Book — viii, 496 p. : ill. ; cm.
 Summary

 Stocks, Options, and Futures. Fundamental Mathematical Concepts. The Geometric Brownian Motion Model of Price Movements. The BlackScholes Formula. More on the BlackScholes Formula. Binomial Trees. Basic Option Pricing with Binomial Trees. The Volatility Smile. Implied Volatility Trees. Implied Binomial Trees. Pricing Barrier Options in the Presence of the Smile.
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HG6024 .A3 C496 1997  Unknown 
 Wilmott, Paul.
 Oxford : Oxford Financial Press, c1993.
 Description
 Book — xii, 457 p. : ill. ; 24 cm.
 Online
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HG6024 .A3 W5546 1993  Unknown 
34. Option pricing [1983]
 Jarrow, Robert A.
 Homewood, Ill. : R.D. Irwin, 1983.
 Description
 Book — xxii, 239 p. : ill. ; 23 cm.
 Online
 London : Risk Books, 1999.
 Description
 Book — xxviii, 368 p. : ill. ; 24 cm.
 Summary

 Rational theory of warrant pricing
 the relationship between put and call option prices
 the pricing of options and corporate liabilities
 theory of rational pricing
 "options  a Monte Carlo approach"
 the value of an option to exchange one asset for another
 on the pricing of corporate debt  the risk structure of interest rates.
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HG6024 .A3 O647 1999  Available 
 Jabbour, George (George Moussa)
 2nd ed.  Hoboken, N.J. : Wiley, c2010.
 Description
 Book — xviii, 381 p. : ill ; 24 cm.
 Summary

 Preface to the First Edition. Preface to the Second Edition.
 CHAPTER 1 Trade and Risk Management. Introduction. The Philosophy of Risk. Truth About Reward. Risk Management. Trade Management. Trading as a Business. SCOREThe Formula for Trading Success.
 CHAPTER 2 Tools of the Trader. Introduction. Option Value. Option Pricing. Option Greeks and Risk Management. Time Decay. Delta/Gamma. Implied Volatility. Synthetic Positions. Basic Strategies. Basic Spreads and Combinations. Advanced Spreads. The Greeks and Spread Trades. Valuable Derivative Traders Program. Introduction to Trade Adjustments.
 CHAPTER 3 Long Stock. Introduction. Protective Put. Call Replacement. Sell Covered Calls. Collars. Ratio Write. Short Straddle/Short Strangle. Call Ratio Spread. Call Calendar Spread.
 CHAPTER 4 Short Stock. Introduction. Protective CallInsurance. Put Replacement. Covered Puts. Short Collars. Put Ratio Write. Put Ratio Spread.
 CHAPTER 5 Calls and Puts. Introduction. Long Call. Short Call. Long Put. Short Put.
 CHAPTER 6 Spreads. Introduction. Bull Call Spreads/Bear Put Spreads. Bear Call Spreads/Bull Put Spreads. Calendar Spreads.
 CHAPTER 7 Combinations. Introduction. Long Straddle. Long Strangle. Short Straddle/Short Strangle. Index.
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HG6024.A3 J32 2010  Available 
 Herwig, Tobias.
 Berlin : Springer, c2006.
 Description
 Book — viii, 104 p. : ill.
 Simons, Howard L., 1954
 New York : J. Wiley, c1999.
 Description
 Book — xv, 269 p. : ill. ; 24 cm.
 Summary

 Wiley trading advantage series.
 THINKING ABOUT MARKETS. In the Game. For What It's Worth. Taking Care of Business. Take My Risk, Please. The Beating Heart. The Shape of Things to Come. The Original Sin. TOWARD THE DYNAMIC OPTION SELECTION SYSTEM. But Not the Obligation. Choose Your Weapons. So Many Positions, So Little Time. Do the Right Thing. Index.
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HG6024.A3 S557 1999  Available 
 Ziegler, Alexandre, 1975
 Berlin ; New York : Springer, c1999.
 Description
 Book — xiv, 145 p. : ill. ; 24 cm.
 Summary

 Methodological issues
 credit and collateral
 endogenous bankruptcy and capital structure
 junior debt
 bank runs
 deposit insurance
 summary and conclusion. (Part contents).
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 Online
 Noh, Jaesun.
 Cambridge, Mass. : National Bureau of Economic Research, [1993]
 Description
 Book — 29 p. : ill. ; 22 cm.
 Online
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H62.5 .U5 N35 NO.4520  Available 
 Clark, Iain J.
 Chichester, West Sussex, United Kingdom : John Wiley & Sons Inc., 2014.
 Description
 Book — 1 online resource.
 Summary

 Acknowledgements xv Notation xvii List of Figures xix List of Tables xxiii
 1 Introduction 1 1.1 Trade, Commerce and Commodities 3 1.2 Adapting to Commodities as an Asset Class 8 1.2.1 Classification of Commodities into Subcategories 9 1.3 Challenges in Commodity Models 12 1.3.1 Futures 12 1.3.2 Correlation 12 1.3.3 Seasonality 15 1.3.4 American and Asian Features 15
 2 Commodity Mathematics and Products 17 2.1 Spot, Forwards and Futures 17 2.1.1 Spot 18 2.1.2 Forwards 19 2.1.3 Futures 20 2.2 The Black Scholes and Black76 Models 24 2.2.1 The Black Scholes Model 24 2.2.2 The Black Scholes Model Without Convenience Yield 25 2.2.3 The Black Scholes Model With Convenience Yield 26 2.2.4 The Black76 Model 28 2.2.5 RiskNeutral Valuation 35 2.2.6 Forwards 36 2.2.7 The Black Scholes Term Structure Model 38 2.3 Forward and Futures Contracts 39 2.3.1 Forwards 39 2.3.2 Futures 39 2.3.3 Case Study 40 2.4 Commodity Swaps 42 2.5 European Options 44 2.5.1 European Options on Spot 45 2.5.2 European Options on Futures 49 2.5.3 Settlement Adjustments 49 2.6 American Options 50 2.6.1 BaroneAdesi and Whaley (1987) 50 2.6.2 Lattice Methods 53 2.7 Asian Options 54 2.7.1 Geometric Asian Options Continuous Averaging 54 2.7.2 Arithmetic Asian Options Continuous Averaging 61 2.7.3 Geometric Average Options Discrete Fixings Kemna and Vorst (1990) 62 2.7.4 Arithmetic Average Options Discrete Fixings Turnbull and Wakeman (1991) 66 2.8 Commodity Swaptions 70 2.9 Spread Options 73 2.9.1 Margrabe Exchange Options 74 2.9.2 The Kirk Approximation 75 2.9.3 Calendar Spread Options 77 2.9.4 Asian Spread Options 78 2.10 More Advanced Models 78 2.10.1 Mean Reverting Models 79 2.10.2 MultiFactor Models 88 2.10.3 Convenience Yield Models 94
 3 Precious Metals 99 3.1 Gold Forward and Gold Lease Rates 101 3.2 Volatility Surfaces for Precious Metals 103 3.2.1 Pips Spot Delta 104 3.2.2 Pips Forward Delta 104 3.2.3 Notation 105 3.2.4 Market Volatility Surfaces 105 3.2.5 AttheMoney 105 3.2.6 Strangles and Risk Reversals 107 3.2.7 Temporal Interpolation 111 3.3 Survey of the Precious Metals 111 3.3.1 Gold 112 3.3.2 Silver 117 3.3.3 Platinum 119 3.3.4 Palladium 121 3.3.5 Rhodium 124
 4 Base Metals 127 4.1 Futures, Options and TAPO Contracts 130 4.1.1 Futures 130 4.1.2 Options 134 4.1.3 Traded Average Price Options 137 4.2 Commonly Traded Base Metals 139 4.2.1 Copper 140 4.2.2 Aluminium 142 4.2.3 Zinc 143 4.2.4 Nickel 145 4.2.5 Lead 146 4.2.6 Tin 148
 5 Energy I Crude Oil, Natural Gas and Coal 151 5.1 Crude Oil 154 5.1.1 WTI 158 5.1.2 Brent 163 5.1.3 Calibration of WTI Volatility Term Structure 171 5.1.4 Calibration of WTI Volatility Skew 174 5.1.5 Brent and Other Crude Markets 177 5.1.6 A Note on Correlation 180 5.2 Natural Gas 180 5.2.1 Deseasonalising Forward Curves 186 5.3 Coal 188
 6 Energy II Refined Products 195 6.1 The Refinery Basket 195 6.2 Gasoline 197 6.3 Heating Oil/Gas Oil 200 6.4 Petroleum Gases and Residual Fuel Oil 203 6.5 Seasonality and Volatility 205 6.6 Crack Spread Options 207
 7 Power 213 7.1 Electricity Generation 214 7.2 Nonstorability and Decorrelation 217 7.2.1 Spot Markets 218 7.2.2 Futures and Forward Markets 219 7.2.3 Options Markets 220 7.3 Modelling Spikes in Electricity Markets 220 7.3.1 Reduced Form Models 223 7.3.2 Structural Models 227 7.4 Swing Options 231 7.5 Spark Spread Options 232
 8 Agricultural Derivatives 233 8.1 Grains 234 8.1.1 Wheat 236 8.1.2 Corn 239 8.1.3 Rice 240 8.1.4 Oats 241 8.1.5 Barley 241 8.2 Oilseeds 242 8.2.1 Soybeans 242 8.2.2 Canola 244 8.3 Softs 244 8.3.1 Coffee 245 8.3.2 Cotton 247 8.3.3 Cocoa 248 8.3.4 Sugar 249 8.3.5 Orange Juice 250 8.3.6 Lumber 252 8.4 Pulp and Paper 252 8.5 Livestock 253 8.5.1 Feeder Cattle 253 8.5.2 Live Cattle 254 8.5.3 Lean Hogs 255 8.5.4 Pork Bellies 255 8.5.5 Milk and Dairy 256
 9 Alternative Commodities 257 9.1 Carbon Emissions Trading 257 9.2 Weather Derivatives 261 9.2.1 Temperature Derivatives 261 9.2.2 Windspeed Derivatives 263 9.2.3 Precipitation Derivatives 263 9.3 Bandwidth and Telecommunication Trading 264 9.4 Plastics 265 9.5 Freight Derivatives 266 9.5.1 Shipping 266 9.5.2 Pricing and the Baltic Freight Market 268 9.5.3 Forward Freight Agreements and Options 269 Conversion Factors 273 Futures Contract Symbols 275 Glossary 279 References 295 Further Reading 303 Index 307.
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 Vikström, Mikael.
 Helsingfors : Swedish School of Economics and Business Administration, 2001.
 Description
 Book — 134 p. : ill ; 25 cm.
 Online
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HB1.A1 E566 NO.98  Available 
 Haug, Espen Gaarder.
 New York : McGrawHill, 1998.
 Description
 Book — xx, 232 p. ; 25 cm. + 1 computer disk.
 Online
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HG6024.A3 H38 1998  Available 
 Van der Hoek, John.
 New York, NY : Springer, c2006.
 Description
 Book — xiii, 303 p. : ill.
 Summary

 The Binomial Model for Stock Options. The Binomial Model for Other Contracts. Multiperiod Binomial Models. Hedging. Forward and Futures Contracts. American and Exotic Option Pricing. PathDependent Options. The Greeks. Dividends. Implied Volatility Trees. Implied Binomial Trees. Interest Rate Models. Real Options. The Binomial Distribution. An Application of Linear Programming. Volatility Estimation. Existence of a Solution. Some Generalizations. Yield Curves and Splines.
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 Optionsbewertung und PortfolioOptimierung. English
 Korn, Ralf.
 Providence, R.I. : American Mathematical Society, c2001.
 Description
 Book — xiv, 253 p. : ill. ; 27 cm.
Science Library (Li and Ma)
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HG6024 .A3 K667 2001  Unknown 
46. Arbitrage, credit and informational risks [2014]
 Singapore ; New Jersey : World Scientific, [2014]
 Description
 Book — xii, 262 pages : illustrations ; 24 cm.
 Summary

 Preface
 Arbitrage
 Noarbitrage conditions and absolutely continuous changes of measure / Claudio Fontana
 A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier
 On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier
 Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
 Credit risk
 Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu
 Reducedform modeling of counterparty risk on credit derivatives / Stephane Crepey
 Dynamic onedefault model / Shiqi Song
 Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti
 Control problem and information risks
 Discretetime multiplayer stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski
 A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac
 A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet
 Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.
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HG6024 .A3 H55 2014  Unknown 
47. PDE and martingale methods in option pricing [2011]
 Pascucci, Andrea.
 Milan ; New York : Springer, ©2011.
 Description
 Book — 1 online resource (xvii, 719 pages) Digital: text file.PDF.
 Summary

 Title Page
 Copyright Page
 Preface
 Table of Contents
 General notations
 Shortenings
 Function spaces
 Spaces of processes
 1 Derivatives and arbitrage pricing
 1.1 Options
 1.1.1 Main purposes
 1.1.2 Main problems
 1.1.3 Rules of compounding
 1.1.4 Arbitrage opportunities and PutCall parity formula
 1.2 Riskneutral price and arbitrage pricing
 1.2.1 Riskneutral price
 1.2.2 Riskneutral probability
 1.2.3 Arbitrage price
 1.2.4 A generalization of the PutCall parity
 1.2.5 Incomplete markets
 2 Discrete market models2.1 Discrete markets and arbitrage strategies
 2.1.1 Selffinancing and predictable strategies
 2.1.2 Normalized market
 2.1.3 Arbitrage opportunities and admissible strategies
 2.1.4 Equivalent martingale measure
 2.1.5 Change of numeraire
 2.2 European derivatives
 2.2.1 Pricing in an arbitragefree market
 2.2.2 Completeness
 2.2.3 Fundamental theorems of asset pricing
 2.2.4 Markov property
 2.3 Binomial model
 2.3.1 Martingale measure and arbitrage price
 2.3.2 Hedging strategies
 2.3.3 Binomial algorithm2.3.4 Calibration
 2.3.5 Binomial model and BlackScholes formula
 2.3.6 BlackScholes differential equation
 2.4 Trinomial model
 2.4.1 Pricing and hedging in an incomplete market
 2.5 American derivatives
 2.5.1 Arbitrage price
 2.5.2 Optimal exercise strategies
 2.5.3 Pricing and hedging algorithms
 2.5.4 Relations with European options
 2.5.5 Freeboundary problem for American options
 2.5.6 American and European options in the binomial model
 3 Continuoustime stochastic processes
 3.1 Stochastic processes and real Brownian motion3.1.1 Markov property
 3.1.2 Brownian motion and the heat equation
 3.2 Uniqueness
 3.2.1 Law of a continuous process
 3.2.2 Equivalence of processes
 3.2.3 Modifications and indistinguishable processes
 3.2.4 Adapted and progressively measurable processes
 3.3 Martingales
 3.3.1 Doobâ€?s inequality
 3.3.2 Martingale spaces: M2 and M2
 3.3.3 The usual hypotheses
 3.3.4 Stopping times and martingales
 3.4 RiemannStieltjes integral
 3.4.1 Boundedvariation functions
 3.4.2 RiemannStieltjes integral and Ito formula3.4.3 Regularity of the paths of a Brownian motion
 4 Brownian integration
 4.1 Stochastic integral of deterministic functions
 4.2 Stochastic integral of simple processes
 4.3 Integral of L2processes
 4.3.1 Ito and RiemannStieltjes integral
 4.3.2 Ito integral and stopping times
 4.3.3 Quadratic variation process
 4.3.4 Martingales with bounded variation
 4.3.5 Covariation process
 4.4 Integral of L2locprocesses
 4.4.1 Local martingales
 4.4.2 Localization and quadratic variation
 Lopes, Hedibert Freitas.
 Brasília : IPEA, Diretoria de Estudos macroeconômicos, [2001]
 Description
 Book — 38 p. : ill. ; 30 cm.
 Online
 Finansovye rynki. English
 Melʹnikov, A. V., 1953
 Providence, R.I. : American Mathematical Society, c1999.
 Description
 Book — xiv, 133 p. : ill. ; 26 cm.
 Summary

 Translations of mathematical monographs
 v.184.
 Basic concepts and objects of a financial market The elements of discrete stochastic analysis A stochastic model for a financial market. Arbitrage and completeness Pricing European options in complete markets. The binomial model and the CoxRossRubinstein formula Pricing and hedging American options in complete markets Financial computations on a complete market with the use of nonselffinancing strategies Incomplete markets. Pricing of options and problems of minimizing risk The structure of prices of other instruments of a financial market. Forwards, futures, bonds The problem of optimal investment The concept of continuous models. Limiting transitions from a discrete market to a continuous one. The BlackScholes formula
 Appendix 1
 Appendix 2
 Appendix 3 Hints for solving the problems Bibliography Subject index.
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HG6024.A3 M43813 1999  Available 
 Finansovye rynki. English
 Melʹnikov, A. V., 1953
 Providence, R.I. : American Mathematical Society, c1999.
 Description
 Book — xiv, 133 p. : ill. ; 26 cm.
 Summary

 Basic concepts and objects of a financial market The elements of discrete stochastic analysis A stochastic model for a financial market. Arbitrage and completeness Pricing European options in complete markets. The binomial model and the CoxRossRubinstein formula Pricing and hedging American options in complete markets Financial computations on a complete market with the use of nonselffinancing strategies Incomplete markets. Pricing of options and problems of minimizing risk The structure of prices of other instruments of a financial market. Forwards, futures, bonds The problem of optimal investment The concept of continuous models. Limiting transitions from a discrete market to a continuous one. The BlackScholes formula
 Appendix 1
 Appendix 2
 Appendix 3 Hints for solving the problems Bibliography Subject index.
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HG6024 .A3 M43813 1999  Unknown 
 Wang, Song.
 Singapore : Springer, 2020.
 Description
 Book — 1 online resource (viii, 94 pages) Digital: text file.PDF.
 Summary

 European Options on One Asset
 American Options on One Asset
 Options on One Asset with Stochastic Volatility
 Options on One Asset Revisited.
52. Nonlinear option pricing [2014]
 Guyon, Julien, author.
 ©2014 Boca Raton, Florida : CRC Press, 2014
 Description
 Book — xxxviii, 445 pages : ill. ; 25 cm.
 Summary

 Option Pricing in a Nutshell The superreplication paradigm Stochastic representation of solutions of linear PDEs
 Monte Carlo The Monte Carlo method Euler discretization error Romberg extrapolation
 Some Excursions in Option Pricing Complete market models Beyond replication and superreplication
 Nonlinear PDEs: A Bit of Theory Nonlinear second order parabolic PDEs: some generalities Why is a pricing equation a parabolic PDE? Finite difference schemes Stochastic control and the HamiltonJacobiBellman PDE Viscosity solutions
 Examples of Nonlinear Problems in Finance American options The uncertain volatility model Transaction costs: Leland's model Illiquid markets Superreplication under delta and gamma constraints The uncertain mortality model for reinsurance deals Credit valuation adjustment The passport option
 Early Exercise Problems Superreplication of American options American options and semilinear PDEs The dual method for American options On the ownership of the exercise right On the finiteness of exercise dates On the accounting of multiple coupons Finite difference methods for American options Monte Carlo methods for American options Case study: pricing and hedging of a multiasset convertible bond Introduction to chooser options Regression methods for chooser options The dual algorithm for chooser options Numerical examples of pricing of chooser options
 Backward Stochastic Differential Equations First order BSDEs Reflected first order BSDEs Second order BSDEs
 The Uncertain Lapse and Mortality Model Reinsurance deals The deterministic lapse and mortality model The uncertain lapse and mortality model Pathdependent payoffs Pricing the option on the upandout barrier An example of PDE implementation Monte Carlo pricing Monte Carlo pricing of the option on the upandout barrier Link with first order BSDEs Numerical results using PDE Numerical results using Monte Carlo
 The Uncertain Volatility Model Introduction The model The parametric approach Solving the UVM with BSDEs Numerical experiments
 McKean Nonlinear Stochastic Differential Equations Definition The particle method in a nutshell Propagation of chaos and convergence of the particle method
 Calibration of Local Stochastic Volatility Models to Market Smiles Introduction The calibration condition Existence of the calibrated local stochastic volatility model The PDE method The Markovian projection method The particle method Adding stochastic interest rates The particle method: numerical tests
 Calibration of Local Correlation Models to Market Smiles Introduction The FX triangle smile calibration problem A new representation of admissible correlations The particle method for local correlation Some examples of pairs of functions (a, b) Some links between local correlations Joint extrapolation of local volatilities Price impact of correlation The equity index smile calibration problem Numerical experiments on the FX triangle problem Generalization to stochastic volatility, stochastic interest rates, and stochastic dividend yield Pathdependent volatility
 Marked Branching Diffusions Nonlinear Monte Carlo algorithms for some semilinear PDEs Branching diffusions Marked branching diffusions Application: Credit valuation adjustment algorithm System of semilinear PDEs Nonlinear PDEs
 References Index
 Exercises appear at the end of each chapter.
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HG6042 .G88 2014  Unknown 
 Profeta, Christophe.
 Berlin ; London : Springer, 2010.
 Description
 Book — 1 online resource (xxi, 270 pages) : illustrations Digital: text file.PDF.
 Summary

 Reading the BlackScholes Formula in Terms of First and Last Passage Times. Generalized BlackScholes Formulae for Martingales, in Terms of Last Passage Times. Representation of some particular Azema supermartingales. An Interesting Family of BlackScholes Perpetuities. Study of Last Passage Times up to a Finite Horizon. Put Option as Joint Distribution Function in Strike and Maturity. Existence and Properties of PseudoInverses for Bessel and Related Processes. Existence of PseudoInverses for Diffusions.
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54. Recent progress in theory and applications : foundations, trees, and numerical issues in finance [2010]
 Heidelberg ; New York : Springer, ©2010.
 Description
 Book — 1 online resource (xiv, 198 pages) : illustrations (some color)
 Summary

 Fractional integrals and extensions of selfdecomposability / Keniti Sato
 Packing and Hausdorff measures of stable trees / Thomas Duquesne
 Numerical analysis of additive, Lévy, and Feller processes with applications to option pricing / Oleg Reichmann and Christoph Schwab.
Texts that are out of print but still in demand may also be considered.
The timeliness of a manuscript is sometimes more important than its form, which may in such cases be preliminary or tentative.
Details of the editorial policy and how to submit to the series can be found on the inside frontcover of a current volume. We recommend contacting the publisher or the series editors at an early stage of your project.
Manuscripts should be prepared according to SpringerVerlag's standard specifications. Latex style files may be found at www.springer.com>Authors>Author Guidelines.
This is the first volume of a subseries of the Lecture Notes in Mathematics called Levy Matters, which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Levy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the nonBrownian world.
The three expository articles of this first volume have been chosen to reflect the breadth of the area of Levy processes. The first article by Keniti Sato characterizes extensions of the class of selfdecomposable distributions on Rd. The second article by Thomas Duquesne discusses Haudorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Levy or additive processes model the dynamics of the risky assets. Book Jacket.
55. An introduction to exotic option pricing [2012]
 Buchen, Peter.
 Boca Raton, FL : CRC Press, ©2012.
 Description
 Book — 1 online resource (xvii, 273 pages) : illustrations.
 Summary

 TECHNICAL BACKGROUND Financial Preliminaries European Derivative Securities Exotic Options Binary Options NoArbitrage Pricing Methods The BlackScholes PDE Method Derivation of BlackScholes PDE Meaning of the BlackScholes PDE The Fundamental Theorem of Asset Pricing The EMM Pricing Method BlackScholes and the FTAP Effect of Dividends
 Mathematical Preliminaries Probability Spaces Brownian Motion Stochastic Des Stochastic Integrals Ito's Lemma Martingales FeynmanKac Formula Girsanov's Theorem Time Varying Parameters The BlackScholes PDE The BS Green's Function LogVolutions
 Gaussian Random Variables Univariate Gaussian Random Variables Gaussian Shift Theorem Rescaled Gaussians Gaussian Moments Central Limit Theorem LogNormal Distribution Bivariate Normal Multivariate Gaussian Statistics Multivariate Gaussian Shift Theorem Multivariate Ito's Lemma and BSPDE Linear Transformations of Gaussian RVs
 APPLICATIONS TO EXOTIC OPTION PRICING Simple Exotic Options FirstOrder Binaries BSPrices for FirstOrder Asset and Bond Binaries Parity Relation European Calls and Puts Gap and QOptions Capped Calls and Puts Range Forward Contracts Turbo Binary The LogContract PayatExpiry and MoneyBack Options Corporate Bonds Binomial Trees Options on a Traded Account
 Dual Expiry Options Forward Start Calls and Puts SecondOrder Binaries SecondOrder Asset and Bond Binaries SecondOrder QOptions Compound Options Chooser Options Reset Options Simple Cliquet Option
 TwoAsset Rainbow Options TwoAsset Binaries The Exchange Option Options on the Minimum/Maximum of Two Assets Product and Quotient Options ICIAM Option Competition Executive Stock Option
 Barrier Options Introduction Method of Images Barrier Parity Relations Equivalent Payoffs for Barrier Options Call and Put Barrier Options Barrier Option Rebates Barrier Option Extensions Binomial Model for Barrier Options Partial Time Barrier Options Double Barriers Sequential Barrier Options Compound Barrier Options OutsideBarrier Options Reflecting Barriers
 Lookback Options Introduction Equivalent Payoffs for Lookback Options The Generic Lookback Options m(x, y, t) and M(x, z, t) The Standard Lookback Calls and Puts Partial Price Lookback Options Partial Time Lookback Options Extreme Spread Options LookBarrier Options
 Asian Options Introduction Pricing Framework Geometric Mean Asian Options FTAP Method for GM Asian Options PDE Method for GM Asian Options Discrete GM Asian Options
 Exotic MultiOptions Introduction Matrix and Vector Notation The MBinary Payoff Valuation of the MBinary Previous Results Revisited MultiAsset, OnePeriod Asset and Bond Binaries Quality Options Compound Exchange Option MultiAsset Barrier Options
 References
 Index
 A Summary and Exercises appear at the end of each chapter.
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 New York : Nova Science Publishers, ©2008.
 Description
 Book — 1 online resource (xiii, 358 pages) : illustrations (some color)
 Summary

 NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; CONTENTS; PREFACE NONLINEAR MODELS IN OPTION PRICING; ABSTRACT; INTRODUCTION; PART I: NONLINEAR BLACKSCHOLES MODELS; PART II: ANALYTIC SOLUTIONS; PART III: NUMERICAL TREATMENT OF NONLINEAR BLACKSCHOLES EQUATIONS; PART IV: PARAMETER IDENTIFICATION (INVERSE PROBLEMS); NONLINEAR MODELS IN OPTION PRICING
 AN INTRODUCTION; Abstract; 1. Introduction; 2. Financial Derivatives; 3. Linear BlackScholes Equations; 4. Nonlinear BlackScholes Equations.
 5. Terminal and Boundary Condition
 s6. Volatility Models; Conclusion; Acknowledgements; Appendix; A. Stochastics; B. Pricing Formulae; References; PART I. NONLINEAR BLACKSCHOLES MODELS; OPTION PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS AND NONLINEAR PARTIAL DIFFERENTIAL EQUATIONS; Abstract;
 1. Introduction;
 2. Modelling the Transaction Costs;
 3. The Leland's Approach to Option Pricing and Hedging;
 4. UtilityBased Option Pricing and Hedging;
 5. Conclusion; Acknowledgements; References; UTILITY INDIFFERENCE PRICING WITH MARKET INCOMPLETENESS; Abstract;
 1. Introduction.
 2. UtilityBased Pricing and Hedging: The General Setu
 p3. Basis Risk Model;
 4. Partial Information Basis Risk Model; Conclusion; Acknowledgements; References; PART II. ANALYTIC SOLUTIONS; PRICING OPTIONS IN ILLIQUID MARKETS: SYMMETRY REDUCTIONS AND EXACT SOLUTIONS; Abstract;
 1. Introduction;
 2. Illiquid Markets and Nonlinear BlackScholes Equations;
 3. Invariant Solutions for a Nonlinear BlackScholes Equation;
 4. Properties of Solutions and ParameterSensitivity; Conclusion; Acknowledgements; References.
 DISTRIBUTIONAL SOLUTIONS TO AN INTEGRODIFFERENTIAL PARABOLIC PROBLEM ARISING IN FINANCIAL MATHEMATICSAbstract;
 1. Introduction;
 2. Solutions for the IntegroDifferential Problem (3);
 3. Solutions for the Convolution Problem (8); Acknowledgements; References; PART III. NUMERICAL TREATMENT OF NONLINEARBLACKSCHOLES EQUATIONS; A SEMIDISCRETIZATION METHOD FOR SOLVING NONLINEAR BLACKSCHOLES EQUATIONS: NUMERICAL ANALYSIS AND COMPUTING; Abstract;
 1. Introduction;
 2. Numerical Schemes Construction;
 3. Numerical Analysis about Local in Time Models;
 4. Numerical Analysis about Global in Time Models.
 ConclusionAcknowledgements; References; TRANSFORMATION METHODS FOR EVALUATING APPROXIMATIONS TO THE OPTIMAL EXERCISE BOUNDARY FOR LINEAR AND NONLINEAR BLACKSCHOLES EQUATIONS; Abstract;
 1. Introduction;
 2. Risk Adjusted Methodology Model;
 3. Transformation Method for a Linear BlackScholes Equation;
 4. Transformation Method for a Nonlinear BlackScholes Equation;
 5. Transformation Methods for Asian Call Options; Conclusion; Acknowledgements; References; GLOBAL IN SPACE NUMERICAL COMPUTATION FOR THE NONLINEAR BLACKSCHOLES EQUATION; Abstract;
 1. Introduction;
 2. Transaction Costs Model.
 Hanke, Michael.
 Wien ; New York : Springer, c2003.
 Description
 Book — xvi, 208 p. : ill ; 25 cm.
 Summary

 Option Pricing with an Exogenous Stock Price Process Option Pricing with an Endogenous Stock Price Process Exotic Options A Probabilistic, Firm Value Based Security Pricing Framework A Review of Firm Value Based Security Pricing Models from a Probabilistic Perspective Extension of the Probabilistic Security Pricing Framework to Derivative Securities Review of Firm Value Based Pricing Models for Equity Derivates from a Probabilistic Perspective Option Pricing Extensions for Several Classical Capital Structure Models Capital Structure Effects in Option Prices  The Static Case Option Pricing Effects of Changes in a Firm's Capital Structure Conclusions and Directions for Further Research Bibliography.
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HG6042 .H63 2003  Available 
 Wilmott, Paul.
 Chichester, West Sussex, England ; New York : J. Wiley, c1998.
 Description
 Book — xx, 739 p. : ill ; 26 cm. + 1 computer laser optical disc (4 3/4 in.)
 Summary

 PART ONE BASIC THEORY OF DERIVATIVES
 Products and Markets
 Derivatives
 The Random Behavior Assets
 Elementary Stochastic Calculus
 The BlackScholes Model
 Partial Differential Equations
 The BlackScholes Formulae and the 'Greeks'
 Simple Generalizations of the BlackScholes World
 Early Exercise and American Options
 Probability Density Function and First Exit Times
 Multiasset Options
 The Binomial Model
 PART TWO PATH DEPENDENCY
 An Introduction to Exotic and Pathdependent Options
 Barrier Options
 Strongly Pathdependent Options
 Asian Options
 Lookback Options
 Miscellaneous Exotics
 PART THREE EXTENDING BLACKSCHOLES
 Defects in the BlackScholes Model
 Discrete Hedging
 Transaction Costs
 Volatility Smiles and Surfaces
 Stochastic Volatility
 Uncertain Parameters
 Empirical Analysis of Volatility
 Jump Diffusion
 Crash Modeling
 Speculating with Options
 The Feedback effect of Hedging in Illiquid Markets
 Static Hedging
 PART FOUR INTEREST RATES AND PRODUCTS
 Fixedincome Products and Analysis: Yield, Duration and Convexity
 Swaps
 Onefactor Interest rate Modeling
 Yield Curve Fitting
 Interest rate Derivatives
 Convertible Bonds
 Twofactor Interest Rate Modeling
 Empirical Behavior of the Spot Interest rate
 Heath, Jarrow and Morton
 Interestrate Modeling Without Probabilities
 PART FIVE RISK MEASUREMENT AND MANAGEMENT
 Portfolio Management
 Value at Risk
 Credit Risk
 Credit Derivatives
 RiskMetrics, CreditMetrics and CrashMetircs
 PART SIX NUMERICAL METHOD
 Finitedifference Methods for Onefactor Models
 Further Finitedifference Methods for Onefactor Models
 Finitedifferences Methods for Twofactor Models
 Monte Carlo Simulation Related Methods
 Finitedifferences Programs
 Epilog
 Bibliography
 Index.
 (source: Nielsen Book Data)
 BASIC THEORY OF DERIVATIVES. Products and Markets. Derivatives. The Random Behavior of Assets. Elementary Stochastic Calculus. The BlackScholes Model. Partial Differential Equations. The BlackScholes Formulae and the 'Greeks'. Simple Generalizations of the BlackScholes World. Early Exercise and American Options. Probability Density Functions and First Exit Times. Multiasset Options. The Binomial Model. PATH DEPENDENCY. An Introduction to Exotic and Pathdependent Options. Barrier Options. Strongly Pathdependent Options. Asian Options. Lookback Options. Miscellaneous Exotics. EXTENDING BLACKSCHOLES. Defects in the BlackScholes Model. Discrete Hedging. Transaction Costs. Volatility Smiles and Surfaces. Stochastic Volatility. Uncertain Parameters. Empirical Analysis of Volatility. Jump Diffusion. Crash Modeling. Speculating with Options. The Feedback Effect of Hedging in Illiquid Markets. Static Hedging. INTEREST RATES AND PRODUCTS. Fixedincome Products and Analysis: Yield, Duration and Convexity. Swaps. Onefactor Interest Rate Modeling. Yield Curve Fitting. Interest Rate Derivatives. Convertible Bonds. Twofactor Interest Rate Modeling. Empirical Behavior of the Spot Interest Rate. Heath, Jarrow and Morton. Interestrate Modeling Without Probabilities. RISK MEASUREMENT AND MANAGEMENT. Portfolio Management. Value at Risk. Credit Risk. Credit Derivatives. RiskMetrics, CreditMetrics and CrashMetrics. NUMERICAL METHODS. Finitedifference Methods for Onefactor Models. Further Finitedifference Methods for Onefactor Models. Finitedifference Methods for Twofactor Models. Monte Carlo Simulation and Related Methods. Finitedifference Programs. Epilog. Bibliography. Index.
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Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theoriessuch as stochastic calculus, BlackScholes, binomial trees and interestrate modelsare covered in clear and precise detail, but Derivatives goes much further. Complex modelssuch as path dependency, nonprobabilistic models, static hedging and quasiMonte Carlo methodsare introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs. The book is divided into six parts: Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds. Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency. Part Three: concerns extensions of the BlackScholes world, both classic and modern. Part Four: deals with models for fixedincome products. Part Five: describes models for risk management and measurement. Part Six: delivers the numerical methods required for implementing the models described in the rest of the book. Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles. At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.
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HG6024.A3 W553 1998  Available 
 Wilmott, Paul.
 Cambridge, U.K. ; New York : Cambridge University Press, [1996], c1995.
 Description
 Book — xiii, 317 p. : ill. ; 23 cm.
 Summary

 Part I. Basic Option Theory: 1. An introduction to options and markets
 2. Asset price random walks
 3. The BlackScholes model
 4. Partial differential equations
 5. The BlackScholes formulae
 6. Variations on the BlackScholes model
 7. American options
 Part II. Numerical Methods: 8. Finitedifference methods
 9. Methods for American options
 10. Binomial methods
 Part III. Further Option Theory: 11. Exotic and pathdependent options
 12. Barrier options
 13. A unifying framework for pathdependent options
 14. Asian options
 15. Lookback options
 16. Options with transaction costs
 Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives
 18. Convertible bonds
 Hints to selected exercises
 Bibliography
 Index.
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HG6024 .A3 W554 1996  Unknown 
60. The pricing of foreign currency options [1987]
 Bodurtha, James N.
 [New York] (90 Trinity Place, New York, N.Y. 10006) : Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business Administration, New York University, 1987.
 Description
 Book — 90 p. : ill ; 23 cm.
 Online
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HF5556 .N3 19874/5  Available 
 Clark, Iain J.
 Chichester, West Sussex, United Kingdom : John Wiley & Sons Inc., 2014.
 Description
 Book — 1 online resource Digital: text file.
 Summary

 Acknowledgements xv Notation xvii List of Figures xix List of Tables xxiii
 1 Introduction 1 1.1 Trade, Commerce and Commodities 3 1.2 Adapting to Commodities as an Asset Class 8 1.2.1 Classification of Commodities into Subcategories 9 1.3 Challenges in Commodity Models 12 1.3.1 Futures 12 1.3.2 Correlation 12 1.3.3 Seasonality 15 1.3.4 American and Asian Features 15
 2 Commodity Mathematics and Products 17 2.1 Spot, Forwards and Futures 17 2.1.1 Spot 18 2.1.2 Forwards 19 2.1.3 Futures 20 2.2 The Black Scholes and Black76 Models 24 2.2.1 The Black Scholes Model 24 2.2.2 The Black Scholes Model Without Convenience Yield 25 2.2.3 The Black Scholes Model With Convenience Yield 26 2.2.4 The Black76 Model 28 2.2.5 RiskNeutral Valuation 35 2.2.6 Forwards 36 2.2.7 The Black Scholes Term Structure Model 38 2.3 Forward and Futures Contracts 39 2.3.1 Forwards 39 2.3.2 Futures 39 2.3.3 Case Study 40 2.4 Commodity Swaps 42 2.5 European Options 44 2.5.1 European Options on Spot 45 2.5.2 European Options on Futures 49 2.5.3 Settlement Adjustments 49 2.6 American Options 50 2.6.1 BaroneAdesi and Whaley (1987) 50 2.6.2 Lattice Methods 53 2.7 Asian Options 54 2.7.1 Geometric Asian Options Continuous Averaging 54 2.7.2 Arithmetic Asian Options Continuous Averaging 61 2.7.3 Geometric Average Options Discrete Fixings Kemna and Vorst (1990) 62 2.7.4 Arithmetic Average Options Discrete Fixings Turnbull and Wakeman (1991) 66 2.8 Commodity Swaptions 70 2.9 Spread Options 73 2.9.1 Margrabe Exchange Options 74 2.9.2 The Kirk Approximation 75 2.9.3 Calendar Spread Options 77 2.9.4 Asian Spread Options 78 2.10 More Advanced Models 78 2.10.1 Mean Reverting Models 79 2.10.2 MultiFactor Models 88 2.10.3 Convenience Yield Models 94
 3 Precious Metals 99 3.1 Gold Forward and Gold Lease Rates 101 3.2 Volatility Surfaces for Precious Metals 103 3.2.1 Pips Spot Delta 104 3.2.2 Pips Forward Delta 104 3.2.3 Notation 105 3.2.4 Market Volatility Surfaces 105 3.2.5 AttheMoney 105 3.2.6 Strangles and Risk Reversals 107 3.2.7 Temporal Interpolation 111 3.3 Survey of the Precious Metals 111 3.3.1 Gold 112 3.3.2 Silver 117 3.3.3 Platinum 119 3.3.4 Palladium 121 3.3.5 Rhodium 124
 4 Base Metals 127 4.1 Futures, Options and TAPO Contracts 130 4.1.1 Futures 130 4.1.2 Options 134 4.1.3 Traded Average Price Options 137 4.2 Commonly Traded Base Metals 139 4.2.1 Copper 140 4.2.2 Aluminium 142 4.2.3 Zinc 143 4.2.4 Nickel 145 4.2.5 Lead 146 4.2.6 Tin 148
 5 Energy I Crude Oil, Natural Gas and Coal 151 5.1 Crude Oil 154 5.1.1 WTI 158 5.1.2 Brent 163 5.1.3 Calibration of WTI Volatility Term Structure 171 5.1.4 Calibration of WTI Volatility Skew 174 5.1.5 Brent and Other Crude Markets 177 5.1.6 A Note on Correlation 180 5.2 Natural Gas 180 5.2.1 Deseasonalising Forward Curves 186 5.3 Coal 188
 6 Energy II Refined Products 195 6.1 The Refinery Basket 195 6.2 Gasoline 197 6.3 Heating Oil/Gas Oil 200 6.4 Petroleum Gases and Residual Fuel Oil 203 6.5 Seasonality and Volatility 205 6.6 Crack Spread Options 207
 7 Power 213 7.1 Electricity Generation 214 7.2 Nonstorability and Decorrelation 217 7.2.1 Spot Markets 218 7.2.2 Futures and Forward Markets 219 7.2.3 Options Markets 220 7.3 Modelling Spikes in Electricity Markets 220 7.3.1 Reduced Form Models 223 7.3.2 Structural Models 227 7.4 Swing Options 231 7.5 Spark Spread Options 232
 8 Agricultural Derivatives 233 8.1 Grains 234 8.1.1 Wheat 236 8.1.2 Corn 239 8.1.3 Rice 240 8.1.4 Oats 241 8.1.5 Barley 241 8.2 Oilseeds 242 8.2.1 Soybeans 242 8.2.2 Canola 244 8.3 Softs 244 8.3.1 Coffee 245 8.3.2 Cotton 247 8.3.3 Cocoa 248 8.3.4 Sugar 249 8.3.5 Orange Juice 250 8.3.6 Lumber 252 8.4 Pulp and Paper 252 8.5 Livestock 253 8.5.1 Feeder Cattle 253 8.5.2 Live Cattle 254 8.5.3 Lean Hogs 255 8.5.4 Pork Bellies 255 8.5.5 Milk and Dairy 256
 9 Alternative Commodities 257 9.1 Carbon Emissions Trading 257 9.2 Weather Derivatives 261 9.2.1 Temperature Derivatives 261 9.2.2 Windspeed Derivatives 263 9.2.3 Precipitation Derivatives 263 9.3 Bandwidth and Telecommunication Trading 264 9.4 Plastics 265 9.5 Freight Derivatives 266 9.5.1 Shipping 266 9.5.2 Pricing and the Baltic Freight Market 268 9.5.3 Forward Freight Agreements and Options 269 Conversion Factors 273 Futures Contract Symbols 275 Glossary 279 References 295 Further Reading 303 Index 307.
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62. The BlackScholes Model [2012]
 Capiński, Marek, 1951
 Cambridge : Cambridge University Press, 2012.
 Description
 Book — 1 online resource (180 pages)
 Summary

 Preface
 1. Introduction
 2. Strategies and riskneutral probability
 3. Option pricing and hedging
 4. Various extensions and applications
 5. Pathdependent options
 6. General models
 Index.
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 Miyahara, Yoshio, 1944
 London : Imperial College Press, c2012.
 Description
 Book — xiv, 185 p. : ill. ; 24 cm.
 Summary

 Basic Concepts in Mathematical Finance
 Levy Processes and Geometric Levy Process Models
 Equivalent Martingale Measures
 Esscher Transformed Martingale Measures
 Minimax Martingale Measures and Minimal Distance Martingale Measures
 Minimal Distance Martingale Measures for Geometric Levy Processes
 [GLP & MEMM] Pricing Models
 Calibration and Fitness Analysis of [GLP & MEMM] Models.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Iacus, Stefano M. (Stefano Maria)
 Chichester, West Sussex, United Kingdom ; Hoboken, N.J. : Wiley, 2011.
 Description
 Book — 1 online resource (885 pages)
 Summary

 Preface.
 1. A Synthetic View. 1.1 The World of Derivatives. 1.2 Bibliographic Notes. References.
 2. Probability, Random Variables and Statistics. 2.1 Probability. 2.2 Bayes' Rule. 2.3 Random Variables. 2.4 Asymptotics. 2.5 Conditional Expectation. 2.6 Statistics. 2.7 Solution to Exercises. 2.8 Bibliographic Notes. References.
 3. Stochastic Processes. 3.1 Definition and First Properties. 3.2 Martingales. 3.3 Stopping Times. 3.4 Markov Property. 3.5 Mixing Property. 3.6 Stable Convergence. 3.7 Brownian Motion. 3.8 Counting and Marked Processes. 3.9 Poisson Process. 3.10 Compound Poisson process. 3.11 Compensated Poisson processes. 3.12 Telegraph Process. 3.13 Stochastic Integrals. 3.14 More Properties and Inequalities for the Ito Integral. 3.15 Stochastic Differential Equations. 3.16 Girsanov's theorem for diffusion processes. 3.17 Local Martingales and Semimartingales. 3.18 Levy Processes. 3.19 Stochastic Differential Equations in Rn. 3.20 Markov Switching Diffusions. 3.21 Solution to Exercises. 3.22 Bibliographic Notes. References.
 4. Numerical Methods. 4.1 Monte Carlo Method. 4.2 Numerical Differentiation. 4.3 Root Finding. 4.4 Numerical Optimization. 4.5 Simulation of Stochastic Processes. 4.6 Solution to Exercises. 4.7 Bibliographic Notes. References.
 5. Estimation of Stochastic Models for Finance. 5.1 Geometric Brownian Motion. 5.2 QuasiMaximum Likelihood Estimation. 5.3 ShortTerm Interest Rates Models. 5.4 Exponential Levy Model. 5.5 Telegraph and Geometric Telegraph Process. 5.6 Solution to Exercises. 5.7 Bibliographic Notes. References.
 6. European Option Pricing. 6.1 Contingent Claims. 6.2 Solution of the Black & Scholes Equation. 6.3 The Hedging and the Greeks. 6.4 Pricing Under the Equivalent Martingale Measure. 6.5 More on Numerical Option Pricing. 6.6 Implied Volatility and Volatility Smiles. 6.7 Pricing of Basket Options. 6.8 Solution to Exercises. 6.9 Bibliographic Notes. References.
 7. American Options. 7.1 Finite Difference Methods. 7.2 Explicit FiniteDifference Method. 7.3 Implicit FiniteDifference Method. 7.4 The Quadratic Approximation. 7.5 Geske & Johnson and Other Approximations. 7.6 Monte Carlo Methods. 7.7 Bibliographic Notes. References.
 8. Pricing Outside the Standard Black & Scholes Model. 8.1 The Levy Market Model. 8.2 Pricing Under the Jump Telegraph Process. 8.3 Markov Switching Diffusions. 8.4 The Benchmark approach. 8.5 Bibliographic Notes. References.
 9. Miscellanea. 9.1 Monitoring of the Volatility. 9.2 Asynchronous Covariation Estimation. 9.3 LASSO Model Selection. 9.4 Clustering of Financial Time Series. 9.5 Bibliographic Notes. References. A. 'How to' Guide to R. A.1 Something to Know Soon About R. A.2 Objects. A.3 S4 Objects. A.4 Functions. A.5 Vectorization. A.6 Parallel Computing in R. A.7 Bibliographic Notes. References. B. R in Finance. B.1 Overview of Existing R Frameworks. B.2 Summary of Main Time Series Objects in R. B.3 Dates and Time Handling. B.4 Binding of Time Series. B.5 Loading Data From Financial Data Servers. B.6 Bibliographic Notes. References. Index.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Berg, Imme van den.
 Singapore ; River Edge, N.J. : World Scientific, ©2000.
 Description
 Book — 1 online resource (xii, 136 pages)
 Summary

 The binomial cone and the binomial coefficients
 asymptotic properties of finite random variables
 finite stochastic processes
 stock prices
 options.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Titres financiers. English
 Dumas, Bernard.
 1st English ed.  Cincinnati, Ohio : SouthWestern College Pub. ; London ; New York : Chapman & Hall, 1996.
 Description
 Book — xvi, 378 p. : ill. ; 24 cm.
 Summary

 Equilibrium in the stock market. Option valuation by the arbitrage method. The term structure of interest rates.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Online
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HG4515.2 .D86 1996  Unknown 
67. Inflation insurance [1989]
 Bodie, Zvi.
 Cambridge, MA (1050 Massachusetts Avenue, Cambridge, MA 02138) : National Bureau of Economic Research, [1989?]
 Description
 Book — 36 p. : ill. ; 23 cm.
 Online
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H62.5 .U5 N35 NO.3009  Available 
68. Finance at fields [2012]
 Singapore : World Scientific Pub. Co. Inc., 2013.
 Description
 Book — 1 online resource (xiii, 583 pages :) : illustrations
 Summary

 Introductory Remarks (L P Hughston & M Grasselli)
 Heat Kernel Interest Rate Models with TimeInhomogeneous Markov Processes (J Akahori & A Macrina)
 Stress Testing the Resilience of Financial Networks (H Amini, R Cont & A Minca)
 Managing Corporate Liquidity: Strategies & Pricing Implications (Attakrit Asvanunt, Mark Broadie & Suresh Sundaresan)
 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model (Tomasz R Bielecki, S Crepey, M Jeanblanc & B Zargari)
 InformationBased Asset Pricing (D C Brody, L P Hughston & A Macrina)
 Tangent Models as a Mathematical Framework for Dynamic Calibration (Rene Carmona & S Nadtochiy)
 Composition of TimeConsistent Dynamic Monetary Risk Measures in Discrete Time (P Cheridito & M Kupper)
 Target Volatility Option Pricing (G Di Graziano & L Torricelli)
 Conditional Density Models for Asset Pricing (D Filipovic, L P Hughston & A Macrina)
 Monetary Valuation of Cash Flows under Knightian Uncertainty (H Follmer & I Penner)
 Portfolio Optimization under Partial Information with Expert Opinions (R Frey, A Gabih & R Wunderlich)
 On the Penalty Function and on Continuity Properties of Risk Measures (M Frittelli & E R Gianin)
 Conditional Certainty Equivalent (M Frittelli & M Maggis)
 Pricing of Perpetual American Options in a Model with Partial Information (P Gapeev)
 Optimal Investment on Finite Horizon with Random Discrete Order Flow in Illiquid Markets (P Gassiat, H Pham & M Sirbu)
 Optimal Trade Execution under Geometric Brownian Motion in the Almgren & Chriss Framework (J Gatheral & A Schied)
 The HeatKernel MostLikelyPath Approximation (J Gatheral & TaiHo Wang)
 Forward and Future Implied Volatility (P Glasserman & Qi Wu)
 Absolutely Continuous Compensators (S Janson, S M'Baye & P Protter)
 Optimal Exercise of an Executive Stock Option by an Insider (M Monoyios & A Ng)
 Initial Investment Choice and Optimal Future Allocations (M Musiela & T Zariphopoulou)
 Performance of Robust Hedging of Digital Double Barrier Options (J Obloj & F Ulmer)
 CDO Term Structure Modelling with Levy Processes and the Relation to Market Models (T Schmidt & J Zabczyk).
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Yeung, David.
 2nd ed.  Hong Kong : Hong Kong University Press, 1998.
 Description
 Book — 1 online resource (91 pages) : illustrations
 Summary

 FOREWORD BY STEVEN N.S. CHEUNG; ACKNOWLEDGEMENTS; TABLE OF CONTENTS;
 CHAPTER 1 PREAMBLE;
 CHAPTER 2 DEFINITIONS AND TERMINOLOGY;
 CHAPTER 3 TECHNICAL GLOSSARY;
 CHAPTER 4 STOCHASTIC ASSUMPTIONS AND OPTION PRICING;
 CHAPTER 5 THE BLACKSCHOLES OPTIONS THEORY;
 CHAPTER 6 GEOMETRIC BROWNIAN MOTION, "ALMOST CERTAIN RUIN", AND ASSET MARKETS EQUILIBRIUM IN OPTIONS PRICING;
 CHAPTER 7 NON RANDOM WALK EFFECTS AND A NEW STOCHASTIC SPECIFICATION;
 CHAPTER 8 PRICING FOREIGN EXCHANGE OPTIONS INCORPORATING PURCHASING POWER PARITY;
 CHAPTER 9 CONCLUSIONS; A Note on Software; Index.
 Barth, Mary E.
 [Stanford] : Graduate School of Business, Stanford University, [1997].
 Description
 Book — 49 p. : ill ; 28 cm.
 Online
Business Library
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HF5006 .S72 NO.1351R2  Inlibrary use 
 Barth, Mary E.
 [Stanford] : Graduate School of Business, Stanford University, [1996].
 Description
 Book — 62 p. : ill ; 28 cm.
 Online
Business Library
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Archives: Ask at iDesk  
HF5006 .S72 NO.1351R1  Inlibrary use 
 Barth, Mary E.
 [Stanford] : Graduate School of Business, Stanford University, [1995].
 Description
 Book — 52 p. : ill ; 28 cm.
 Online
Business Library
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HF5006 .S72 NO.1351  Inlibrary use 
73. The Heston model and its extensions in VBA [2015]
 Rouah, Fabrice, 1964 author.
 Hoboken, New Jersey : Wiley, 2015.
 Description
 Book — 1 online resource.
 Summary

 Front Matter
 The Heston Model for European Options
 Integration Issues, Parameter Effects, and Variance Modeling
 Derivations Using the Fourier Transform
 The Fundamental Transform for Pricing Options
 Numerical Integration Schemes
 Parameter Estimation
 Simulation in the Heston Model
 American Options
 TimeDependent Heston Models
 Methods for Finite Differences
 The Heston Greeks
 The Double Heston Model.
 Lyons, Richard K.
 [Washington, D.C.] : [Board of Governors of the Federal Reserve System], [1986]
 Description
 Book — 1 online resource (40 pages) : illustrations.
75. The Journal of derivatives [1993 ]
 New York : Institutional Investor, Inc., c1993
 Description
 Journal/Periodical — v. : ill. ; 28 cm.
 Online
Business Library
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BUS51973 V.2324 FALL 2015SUM 2017  Available 
BUS51973 V.2122 FALL 2013SUM 2015  Available 
BUS51973 V.1920 2011/20122012/2013  Available 
BUS51973 V.1718 2009/20102010/2011  Available 
BUS51973 V.1516 2007/20082008/2009  Available 
BUS51973 V.1314 2005/20062006/2007  Available 
BUS51973 V.1112 2003/20042004/2005  Available 
BUS51973 V.910 2001/20022002/2003  Available 
BUS51973 V.56 1997/19981998/1999  Available 
BUS51973 V.34 1995/19961996/1997  Available 
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BUS51973 1993/19941994/1995  Available 
76. The Heston model and its extensions in VBA [2015]
 Rouah, Fabrice, 1964
 Hoboken, New Jersey : Wiley, 2015.
 Description
 Book — 1 online resource.
 Summary

 Foreword xi Preface xiii Acknowledgments xv About This Book xvii VBA Library for Complex Numbers xix
 Chapter 1 The Heston Model for European Options 1 Model Dynamics 1 The Heston European Call Price 2 Dividend Yield and the Put Price 8 Consolidating the Integrals 9 BlackScholes as a Special Case 10 Conclusion 12
 Chapter 2 Integration Issues, Parameter Effects, and Variance Modeling 13 Remarks on the Characteristic Functions 14 Problems with the Integrand 16 The Little Heston Trap 18 Effect of the Heston Parameters 20 Variance Modeling in the Heston Model 26 Moment Explosions 38 Bounds on Implied Volatility Slope 40 Conclusion 42
 Chapter 3 Derivations Using the Fourier Transform 45 Derivation of Gatheral (2006) 46 Attari (2004) Representation 47 Carr and Madan (1999) Representation 49 Conclusion 61
 Chapter 4 The Fundamental Transform for Pricing Options 63 The Payoff Transform 64 Option Prices Using Parseval s Identity 70 Volatility of Volatility Series Expansion 75 Conclusion 81
 Chapter 5 Numerical Integration Schemes 83 The Integrand in Numerical Integration 84 NewtonCotes Formulas 85 Gaussian Quadrature 90 Integration Limits, Multidomain Integration, and Kahl and Jackel Transformation 98 Illustration of Numerical Integration 103 Fast Fourier Transform 106 Fractional Fast Fourier Transform 108 Conclusion 114
 Chapter 6 Parameter Estimation 115 Estimation Using Loss Functions 116 Speeding Up the Estimation 126 Differential Evolution 128 Maximum Likelihood Estimation 132 RiskNeutral Density and ArbitrageFree Volatility Surface 135 Conclusion 140
 Chapter 7 Simulation in the Heston Model 143 General Setup 144 Euler Scheme 146 Milstein Scheme 147 Implicit Milstein Scheme 149 Transformed Volatility Scheme 152 Balanced, Pathwise, and IJK Schemes 155 QuadraticExponential Scheme 157 Alfonsi Scheme for the Variance 161 MomentMatching Scheme 165 Conclusion 167
 Chapter 8 American Options 169 LeastSquares Monte Carlo 169 The Explicit Method 174 BeliaevaNawalkha Bivariate Tree 178 MedvedevScaillet Expansion 191 Chiarella and Ziogas American Call 200 Conclusion 208
 Chapter 9 TimeDependent Heston Models 209 Generalization of the Riccati Equation 209 Bivariate Characteristic Function 210 Linking the Bivariate CF and the General Riccati Equation 212 Mikhailov and Nogel Model 214 Elices Model 219 BenhamouMiriGobet Model 223 BlackScholes Derivatives 231 Conclusion 232
 Chapter 10 Methods for Finite Differences 235 The PDE in Terms of an Operator 236 Building Grids 236 Finite Difference Approximation of Derivatives 239 Boundary Conditions for the PDE 240 The Weighted Method 241 Explicit Scheme 248 ADI Schemes 251 Conclusion 256
 Chapter 11 The Heston Greeks 257 Analytic Expressions for European Greeks 258 Finite Differences for the Greeks 263 Numerical Implementation of the Greeks 264 Greeks under the Attari and CarrMadan Formulations 267 Greeks under the Lewis Formulations 273 Greeks Using the FFT and FRFT 276 American Greeks Using Simulation 279 American Greeks Using the Explicit Method 281 American Greeks from Medvedev and Scaillet 284 Conclusion 285
 Chapter 12 The Double Heston Model 287 Multidimensional FeynmanKac Theorem 288 Double Heston Call Price 288 Double Heston Greeks 292 Parameter Estimation 297 Simulation in the Double Heston Model 301 American Options in the Double Heston Model 306 Conclusion 308 Bibliography 309 About the Website 317 Index 319.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
77. Arbitrage, credit and informational risks [2014]
 Singapore ; New Jersey : World Scientific, [2014]
 Description
 Book — 1 online resource (xii, 262 pages .)
 Summary

 Preface
 Arbitrage
 Noarbitrage conditions and absolutely continuous changes of measure / Claudio Fontana
 A systematic approach to constructing market models with arbitrage / Johannes Ruf, Wolfgang J. Runggaldier
 On the existence of martingale measures in jump difusion market models / Jacopo Mancin, Wolfgang J. Runggaldier
 Arbitrages in a progressive enlargement setting / Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
 Credit risk
 Pricing credit derivatives with a structural default model / Sebastien Hitier, Ying Zhu
 Reducedform modeling of counterparty risk on credit derivatives / Stephane Crepey
 Dynamic onedefault model / Shiqi Song
 Stochastic sensitivity study for optimal credit allocation / Laurence Carassus, Simone Scotti
 Control problem and information risks
 Discretetime multiplayer stopping and quitting games with redistribution of Payo's / Ivan Guo, Marek Rutkowski
 A note on BSDES with singular driver coeffcients / Monique Jeanblanc, Anthony Reveillac
 A portfolio optimization problem with two prices generated by two information flows / Caroline Hillairet
 Option pricing under stochastic volatility, jumps and cost of information / Sana Mahfoudh, Monique Pontier.
(source: Nielsen Book Data)
 Zhu, Jianwei, 1970
 2nd ed.  Heidelberg ; New York : Springer, ©2010.
 Description
 Book — 1 online resource (xv, 330 pages) : illustrations Digital: text file; PDF.
 Summary

 Option Valuation and the Volatility Smile. Characteristic Functions in Option Pricing. Stochastic Volatility Models. Numerical Issues of Stochastic Volatility Models. Simulating Stochastic Volatility Models. Stochastic Interest Models. Poisson Jumps. Levy Jumps. Integrating Various Stochastic Factors. Exotic Options with Stochastic Volatilities. Libor Market Model with Stochastic Volatilities.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Berlin ; London : Springer, 2009.
 Description
 Book — 1 online resource Digital: text file.PDF.
 Summary

 Vinzenz Bronzin  Personal Life and work. Vinzenz Bronzin  Personal Life and Work. Stefan Zweig: A Representative Voice of the Time. Stefan Zweig: A Representative Voice of the Time. How I Discovered Bronzin's Book. How I Discovered Bronzin's Book. Theorie der Pramiengeschafte. Facsimile of Bronzin's Original Treatise. Theory of Premium Contracts. Translation of Bronzin's Treatise. Background and Appraisal of Bronzin's Work. A Review and Evaluation of Bronzin's Contribution from a Financial Economics Perspective. Probabilistic Roots of Financial Modelling: A Historical Perspective. The Contribution of the SocialEconomic Environment to the Creation of Bronzin's "Theory of Premium Contracts". Cultural and SocioHistorical Background. The Late Habsburg Monarchy  Economic Spurt or Delayed Modernization?. A Change in the Paradigm for Teaching Mathematics. Review of Bronzin's Book in the "Monatshefte fur Mathematik und Physik". Monatshefte fur Mathematik und Physik  A Showcase of the Culture of Mathematicians in the HabsburgianHungarian Empire During the Period from 1890 until 1914. The Certainty of Risk in the Markets of Uncertainty. Trieste. Speculation and Security. The Financial World in Trieste in the Early Years of the Twentieth Century. The Cultural Landscape of Trieste at the Beginning of the 20th Century  an Essay. Trieste: A Node of the Actuarial Network in the Early 1900s. Finance, Economics and Actuarial Science. A Short History of Derivative Security Markets. Retrospective Book Review on James Moser: "Die Lehre von den Zeitgeschaften und deren Combinationen" (1875). The History of Option Pricing and Hedging. The Early History of Option Contracts. Bruno de Finetti, Actuarial Sciences and the Theory of Finance in the 20th Century. The Origins of Expected Utility Theory. An Early Structured Product: Illustrative Pricing of Repeat Contracts.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Barth, Mary E.
 [Stanford] : Graduate School of Business, Stanford University, [1997]
 Description
 Book — 72 p. ; 28 cm.
 Online
Business Library
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HF5006 .S72 NO.1351R3  Inlibrary use 
 Rouah, Fabrice, 1964
 Hoboken, New Jersey : Wiley, [2013]
 Description
 Book — 1 online resource (xiii, 411 pages).
 Summary

 Foreword ix Preface xi Acknowledgments xiii
 CHAPTER 1 The Heston Model for European Options 1 Model Dynamics 1 The European Call Price 4 The Heston PDE 5 Obtaining the Heston Characteristic Functions 10 Solving the Heston Riccati Equation 12 Dividend Yield and the Put Price 17 Consolidating the Integrals 18 BlackScholes as a Special Case 19 Summary of the Call Price 22 Conclusion 23
 CHAPTER 2 Integration Issues, Parameter Effects, and Variance Modeling 25 Remarks on the Characteristic Functions 25 Problems With the Integrand 29 The Little Heston Trap 31 Effect of the Heston Parameters 34 Variance Modeling in the Heston Model 43 Moment Explosions 56 Bounds on Implied Volatility Slope 57 Conclusion 61
 CHAPTER 3 Derivations Using the Fourier Transform 63 The Fourier Transform 63 Recovery of Probabilities With GilPelaez Fourier Inversion 65 Derivation of Gatheral (2006) 67 Attari (2004) Representation 69 Carr and Madan (1999) Representation 73 Bounds on the CarrMadan Damping Factor and Optimal Value 76 The CarrMadan Representation for Puts 82 The Representation for OTM Options 84 Conclusion 89
 CHAPTER 4 The Fundamental Transform for Pricing Options 91 The Payoff Transform 91 The Fundamental Transform and the Option Price 92 The Fundamental Transform for the Heston Model 95 Option Prices Using Parseval s Identity 100 Volatility of Volatility Series Expansion 108 Conclusion 113
 CHAPTER 5 Numerical Integration Schemes 115 The Integrand in Numerical Integration 116 NewtonCotes Formulas 116 Gaussian Quadrature 121 Integration Limits and Kahl and J .. ackel Transformation 130 Illustration of Numerical Integration 136 Fast Fourier Transform 137 Fractional Fast Fourier Transform 141 Conclusion 145
 CHAPTER 6 Parameter Estimation 147 Estimation Using Loss Functions 147 Speeding up the Estimation 158 Differential Evolution 162 Maximum Likelihood Estimation 166 RiskNeutral Density and ArbitrageFree Volatility Surface 170 Conclusion 175
 CHAPTER 7 Simulation in the Heston Model 177 General Setup 177 Euler Scheme 179 Milstein Scheme 181 Milstein Scheme for the Heston Model 183 Implicit Milstein Scheme 185 Transformed Volatility Scheme 188 Balanced, Pathwise, and IJK Schemes 191 QuadraticExponential Scheme 193 Alfonsi Scheme for the Variance 198 Moment Matching Scheme 201 Conclusion 202
 CHAPTER 8 American Options 205 LeastSquares Monte Carlo 205 The Explicit Method 213 BeliaevaNawalkha Bivariate Tree 217 MedvedevScaillet Expansion 228 Chiarella and Ziogas American Call 253 Conclusion 261
 CHAPTER 9 TimeDependent Heston Models 263 Generalization of the Riccati Equation 263 Bivariate Characteristic Function 264 Linking the Bivariate CF and the General Riccati Equation 269 Mikhailov and No. gel Model 271 Elices Model 278 BenhamouMiriGobet Model 285 BlackScholes Derivatives 299 Conclusion 300
 CHAPTER 10 Methods for Finite Differences 301 The PDE in Terms of an Operator 301 Building Grids 302 Finite Difference Approximation of Derivatives 303 The Weighted Method 306 Boundary Conditions for the PDE 315 Explicit Scheme 316 ADI Schemes 321 Conclusion 325
 CHAPTER 11 The Heston Greeks 327 Analytic Expressions for European Greeks 327 Finite Differences for the Greeks 332 Numerical Implementation of the Greeks 333 Greeks Under the Attari and CarrMadan Formulations 339 Greeks Under the Lewis Formulations 343 Greeks Using the FFT and FRFT 345 American Greeks Using Simulation 346 American Greeks Using the Explicit Method 349 American Greeks from Medvedev and Scaillet 352 Conclusion 354
 CHAPTER 12 The Double Heston Model 357 MultiDimensional FeynmanKAC Theorem 357 Double Heston Call Price 358 Double Heston Greeks 363 Parameter Estimation 368 Simulation in the Double Heston Model 373 American Options in the Double Heston Model 380 Conclusion 382 Bibliography 383 About the Website 391 Index 397.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Claessens, Stijn.
 Washington, DC : Data and International Finance Division, International Economics Dept. and the Country Operations Division, Latin America and the Caribbean Country Dept. II, World Bank, [1990]
 Description
 Book — 21 p. : ill. ; 28 cm.
SAL3 (offcampus storage)
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HG3881.5 .W57 P63 V.333  Available 
 Miyahara, Yoshio.
 London : Imperial College Press, 2012.
 Description
 Book — 1 online resource (xiv, 185 pages)
 Summary

 Basic Concepts in Mathematical Finance
 Levy Processes and Geometric Levy Process Models
 Equivalent Martingale Measures
 Esscher Transformed Martingale Measures
 Minimax Martingale Measures and Minimal Distance Martingale Measures
 Minimal Distance Martingale Measures for Geometric Levy Processes
 [GLP & MEMM] Pricing Models
 Calibration and Fitness Analysis of [GLP & MEMM] Models.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Clark, Iain J.
 Chichester, West Sussex, U.K. : Wiley, 2011.
 Description
 Book — 1 online resource (xviii, 280 pages) : illustrations Digital: text file.
 Summary

 Acknowledgements xiii List of Tables xv List of Figures xvii
 1 Introduction 1 1.1 A Gentle Introduction to FX Markets 1 1.2 Quotation Styles 2 1.3 Risk Considerations 5 1.4 Spot Settlement Rules 5 1.5 Expiry and Delivery Rules 8 1.5.1 Expiry and delivery rules days or weeks 8 1.5.2 Expiry and delivery rules months or years 9 1.6 Cutoff Times 10
 2 Mathematical Preliminaries 13 2.1 The Black Scholes Model 13 2.1.1 Assumptions of the Black Scholes model 13 2.2 Risk Neutrality 13 2.3 Derivation of the Black Scholes equation 14 2.4 Integrating the SDE for ST 17 2.5 Black Scholes PDEs Expressed in Logspot 18 2.6 Feynman Kac and RiskNeutral Expectation 18 2.7 Risk Neutrality and the Presumption of Drift 20 2.8 Valuation of European Options 23 2.8.1 Forward 26 2.9 The Law of One Price 27 2.10 The Black Scholes Term Structure Model 28 2.11 Breeden Litzenberger Analysis 30 2.12 European Digitals 31 2.13 Settlement Adjustments 32 2.14 Delayed Delivery Adjustments 33 2.15 Pricing using Fourier Methods 35 2.15.1 European option pricing involving one numerical integral 37 2.16 Leptokurtosis More than Fat Tails 38
 3 Deltas and Market Conventions 41 3.1 Quote Style Conversions 41 3.2 The Law of Many Deltas 43 3.3 FX Delta Conventions 47 3.4 Market Volatility Surfaces 49 3.5 AttheMoney 50 3.6 Market Strangle 53 3.6.1 Example EURUSD 1Y 55 3.7 Smile Strangle and Risk Reversal 55 3.8 Visualisation of Strangles 57 3.9 Smile Interpolation Polynomial in Delta 59 3.10 Smile Interpolation SABR 60 3.11 Concluding Remarks 62
 4 Volatility Surface Construction 63 4.1 Volatility Backbone Flat Forward Interpolation 65 4.2 Volatility Surface Temporal Interpolation 67 4.3 Volatility Surface Temporal Interpolation Holidays and Weekends 70 4.4 Volatility Surface Temporal Interpolation Intraday Effects 73
 5 Local Volatility and Implied Volatility 77 5.1 Introduction 77 5.2 The Fokker Planck Equation 78 5.3 Dupire s Construction of Local Volatility 83 5.4 Implied Volatility and Relationship to Local Volatility 86 5.5 Local Volatility as Conditional Expectation 87 5.6 Local Volatility for FX Markets 88 5.7 Diffusion and PDE for Local Volatility 89 5.8 The CEV Model 90 5.8.1 Asymptotic expansion 91
 6 Stochastic Volatility 95 6.1 Introduction 95 6.2 Uncertain Volatility 95 6.3 Stochastic Volatility Models 96 6.4 Uncorrelated Stochastic Volatility 107 6.5 Stochastic Volatility Correlated with Spot 108 6.6 The Fokker Planck PDE Approach 111 6.7 The Feynman Kac PDE Approach 113 6.8 Local Stochastic Volatility (LSV) Models 117
 7 Numerical Methods for Pricing and Calibration 129 7.1 OneDimensional Root Finding Implied Volatility Calculation 129 7.2 Nonlinear Least Squares Minimisation 130 7.3 Monte Carlo Simulation 131 7.4 Convection Diffusion PDEs in Finance 147 7.5 Numerical Methods for PDEs 153 7.6 Explicit Finite Difference Scheme 155 7.7 Explicit Finite Difference on Nonuniform Meshes 163 7.8 Implicit Finite Difference Scheme 165 7.9 The Crank Nicolson Scheme 167 7.10 Numerical Schemes for Multidimensional PDEs 168 7.11 Practical Nonuniform Grid Generation Schemes 173 7.12 Further Reading 176
 8 First Generation Exotics Binary and Barrier Options 177 8.1 The Reflection Principle 179 8.2 European Barriers and Binaries 180 8.3 Continuously Monitored Binaries and Barriers 183 8.4 Double Barrier Products 194 8.5 Sensitivity to Local and Stochastic Volatility 195 8.6 Barrier Bending 197 8.7 Value Monitoring 202
 9 Second Generation Exotics 205 9.1 Chooser Options 206 9.2 Range Accrual Options 206 9.3 Forward Start Options 207 9.4 Lookback Options 209 9.5 Asian Options 212 9.6 Target Redemption Notes 214 9.7 Volatility and Variance Swaps 214
 10 Multicurrency Options 225 10.1 Correlations, Triangulation and Absence of Arbitrage 226 10.2 Exchange Options 229 10.3 Quantos 229 10.4 Bestofs and Worstofs 233 10.5 Basket Options 239 10.6 Numerical Methods 241 10.7 A Note on Multicurrency Greeks 242 10.8 Quantoing Untradeable Factors 243 10.9 Further Reading 244
 11 Longdated FX 245 11.1 Currency Swaps 245 11.2 Basis Risk 247 11.3 Forward Measure 249 11.4 LIBOR in Arrears 250 11.5 Typical Longdated FX Products 253 11.6 The ThreeFactor Model 255 11.7 Interest Rate Calibration of the ThreeFactor Model 257 11.8 Spot FX Calibration of the ThreeFactor Model 259 11.9 Conclusion 264 References 265 Further Reading 271 Index 273.
 (source: Nielsen Book Data)
 Acknowledgements. List of Tables. List of Figures.
 1 Introduction. 1.1 A Gentle Introduction to FX Markets. 1.2 Quotation Styles. 1.3 Risk Considerations. 1.4 Spot Settlement Rules. 1.5 Expiry and Delivery Rules. 1.6 Cutoff Times.
 2 Mathematical Preliminaries. 2.1 The Black Scholes Model. 2.2 Risk Neutrality. 2.3 Derivation of the Black Scholes equation. 2.4 Integrating the SDE for ST. 2.5 Black Scholes PDEs Expressed in Logspot. 2.6 Feynman Kac and RiskNeutral Expectation. 2.7 Risk Neutrality and the Presumption of Drift. 2.8 Valuation of European Options. 2.9 The Law of One Price. 2.10 The Black Scholes Term Structure Model. 2.11 Breeden Litzenberger Analysis. 2.12 European Digitals. 2.13 Settlement Adjustments. 2.14 Delayed Delivery Adjustments. 2.15 Pricing using Fourier Methods. 2.16 Leptokurtosis More than Fat Tails.
 3 Deltas and Market Conventions. 3.1 Quote Style Conversions. 3.2 The Law of Many Deltas. 3.3 FX Delta Conventions. 3.4 Market Volatility Surfaces. 3.5 AttheMoney. 3.6 Market Strangle. 3.7 Smile Strangle and Risk Reversal. 3.8 Visualisation of Strangles. 3.9 Smile Interpolation Polynomial in Delta. 3.10 Smile Interpolation SABR. 3.11 Concluding Remarks.
 4 Volatility Surface Construction. 4.1 Volatility Backbone Flat Forward Interpolation. 4.2 Volatility Surface Temporal Interpolation. 4.3 Volatility Surface Temporal Interpolation Holidays and Weekends. 4.4 Volatility Surface Temporal Interpolation Intraday Effects.
 5 Local Volatility and Implied Volatility. 5.1 Introduction. 5.2 The Fokker Planck Equation. 5.3 Dupire's Construction of Local Volatility. 5.4 Implied Volatility and Relationship to Local Volatility. 5.5 Local Volatility as Conditional Expectation. 5.6 Local Volatility for FX Markets. 5.7 Diffusion and PDE for Local Volatility. 5.8 The CEV Model.
 6 Stochastic Volatility. 6.1 Introduction. 6.2 Uncertain Volatility. 6.3 Stochastic Volatility Models. 6.4 Uncorrelated Stochastic Volatility. 6.5 Stochastic Volatility Correlated with Spot. 6.6 The Fokker Planck PDE Approach. 6.7 The Feynman Kac PDE Approach. 6.8 Local Stochastic Volatility (LSV) Models.
 7 Numerical Methods for Pricing and Calibration. 7.1 OneDimensional Root Finding Implied Volatility Calculation. 7.2 Nonlinear Least Squares Minimisation. 7.3 Monte Carlo Simulation. 7.4 Convection Diffusion PDEs in Finance. 7.5 Numerical Methods for PDEs. 7.6 Explicit Finite Difference Scheme. 7.7 Explicit Finite Difference on Nonuniform Meshes. 7.8 Implicit Finite Difference Scheme. 7.9 The Crank Nicolson Scheme. 7.10 Numerical Schemes for Multidimensional PDEs. 7.11 Practical Nonuniform Grid Generation Schemes. 7.12 Further Reading.
 8 First Generation Exotics Binary and Barrier Options. 8.1 The Reflection Principle. 8.2 European Barriers and Binaries. 8.3 Continuously Monitored Binaries and Barriers. 8.4 Double Barrier Products. 8.5 Sensitivity to Local and Stochastic Volatility. 8.6 Barrier Bending. 8.7 Value Monitoring.
 9 Second Generation Exotics. 9.1 Chooser Options. 9.2 Range Accrual Options. 9.3 Forward Start Options. 9.4 Lookback Options. 9.5 Asian Options. 9.6 Target Redemption Notes. 9.7 Volatility and Variance Swaps.
 10 Multicurrency Options. 10.1 Correlations, Triangulation and Absence of Arbitrage. 10.2 Exchange Options. 10.3 Quantos. 10.4 Bestofs and Worstofs. 10.5 Basket Options. 10.6 Numerical Methods. 10.7 A Note on Multicurrency Greeks. 10.8 Quantoing Untradeable Factors. 10.9 Further Reading.
 11 Longdated FX. 11.1 Currency Swaps. 11.2 Basis Risk. 11.3 Forward Measure. 11.4 LIBOR in Arrears. 11.5 Typical Longdated FX Products. 11.6 The ThreeFactor Model. 11.7 Interest Rate Calibration of the ThreeFactor Model. 11.8 Spot FX Calibration of the ThreeFactor Model. 11.9 Conclusion. References. Further Reading. Index.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Joshi, M. S. (Mark Suresh), 1969
 2nd ed.  Cambridge ; New York : Cambridge University Press, 2008.
 Description
 Book — xviii, 539 p. : ill. ; 26 cm.
 Summary

 Preface
 Acknowledgements
 1. Risk
 2. Pricing methodologies and arbitrage
 3. Trees and option pricing
 4. Practicalities
 5. The Ito calculus
 6. Risk neutrality and martingale measures
 7. The practical pricing of a European option
 8. Continuous barrier options
 9. Multilook exotic options
 10. Static replication
 11. Multiple sources of risk
 12. Options with early exercise features
 13. Interest rate derivatives
 14. The pricing of exotic interest rate derivatives
 15. Incomplete markets and jumpdiffusion processes
 16. Stochastic volatility
 17. Variance gamma models
 18. Smile dynamics and the pricing of exotic options
 Appendix A. Financial and mathematical jargon
 Appendix B. Computer projects
 Appendix C. Elements of probability theory
 Appendix D. Hints and answers to exercises
 Bibliography
 Index.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Online
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks  
HG6024 .A3 J67 2008  Unknown 
 Sevcovic, Daniel.
 Hauppauge, N.Y. : Nova Science Publisher's, 2011.
 Description
 Book — 1 online resource (xv, 309 pages) : illustrations
 Summary

 Introduction
 The role of protecting financial portfolios
 BlackScholes & Merton model
 European style of options
 Analysis of dependence of option prices on model parameters
 Option pricing under transaction costs
 Modeling & pricing exotic financial derivatives
 Short interest rate modeling
 Pricing of interest rate derivatives American types of derivative securities
 Numerical methods for pricing of simple derivatives
 Nonlinear extensions of the BlackScholes pricing model
 Transformation methods for pricing American options
 Calibration of interest rate & term structure models
 Advanced topics in the term structure modeling Index.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
87. Binomial models in finance [2006]
 Van der Hoek, John.
 New York, NY : Springer, ©2006.
 Description
 Book — 1 online resource (xiii, 303 pages) : illustrations Digital: text file.PDF.
 Summary

 The Binomial Model for Stock Options. The Binomial Model for Other Contracts. Multiperiod Binomial Models. Hedging. Forward and Futures Contracts. American and Exotic Option Pricing. PathDependent Options. The Greeks. Dividends. Implied Volatility Trees. Implied Binomial Trees. Interest Rate Models. Real Options. The Binomial Distribution. An Application of Linear Programming. Volatility Estimation. Existence of a Solution. Some Generalizations. Yield Curves and Splines.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
88. Paul Wilmott on quantitative finance [2006]
 Wilmott, Paul.
 2nd ed.  Chichester, England ; Hoboken, NJ : John Wiley & Sons, c2006.
 Description
 Book — 3 v. : ill ; 26 cm. + 1 CDROM (4 3/4 in.)
 Summary

 1. Products and Markets. 2. Derivatives. 3. The Random Behavior of Assets. 4. Elementary Stochastic Calculus. 5. The BlackScholes Model. 6. Partial Differential Equations. 7. The BlackScholes Formulae and the 'Greeks'. 8. Simple Generalizations of the BlackScholes World. 9. Early Exercise and American Options. 10. Probability Density Functions and First Exit Times. 11. Multiasset Options. 12. How to Delta Hedge. 13. Fixedincome Products and Analysis: Yield, Duration and Convexity. 14. Swaps. 15. The Binomial Model. 16. How Accurate is the Normal Approximation? 17. Investment Lessons from Blackjack and Gambling. 18. Portfolio Management. 19. Value at Risk. 20. Forecasting the Markets? 21. A Trading Game.
 22. An Introduction to Exotic and Pathdependent Options. 23. Barrier Options. 24. Strongly Pathdependent Options. 25. Asian Options. 26. Lookback Options. 27. Derivatives and Stochastic Control. 28. Miscellaneous Exotics. 29. Equity and FX Term Sheets. 30. Onefactor Interest Rate Modeling. 31. Yield Curve Fitting. 32. Interest Rate Derivatives. 33. Convertible Bonds. 34. Mortgagebacked Securities. 35. Multifactor Interest Rate Modeling. 36. Empirical Behavior of the Spot Interest Rate. 37. The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models. 38. Fixed Income Term Sheets. 39. Value of the Firm and the Risk of Default. 40. Credit Risk. 41. Credit Derivatives. 42. RiskMetrics and CreditMetrics. 43. CrashMetrics. 44. Derivatives Ups.
 45. Financial Modeling. 46. Defects in the BlackScholes Model. 47. Discrete Hedging. 48. Transaction Costs. 49. Overview of Volatility Modeling. 50. Volatility Smiles and Surfaces. 51. Stochastic Volatility. 52. Uncertain Parameters. 53. Empirical Analysis of Volatility. 54. Stochastic Volatility and Meanvariance Analysis. 55. Asymptotic Analysis of Volatility. 56. Volatility Case Study: The Cliquet Option. 57. Jump Diffusion. 58. Crash Modeling. 59. Speculating with Options. 60. Static Hedging. 61. The Feedback Effect of Hedging in Illiquid Markets. 62. Utility Theory. 63. More About American Options and Related Matters. 64. Advanced Dividend Modeling. 65. Serial Autocorrelation in Returns. 66. Asset Allocation in Continuous Time. 67. Asset Allocation Under Threat Of A Crash. 68. Interestrate Modeling Without Probabilities. 69. Pricing and Optimal Hedging of Derivatives, the Nonprobabilistic Model Cont'd. 70. Extensions to the Nonprobabilistic Interestrate Model. 71. Modeling Inflation. 72. Energy Derivatives. 73. Real Options. 74. Life Settlements and Viaticals. 75. Bonus Time. 76. Overview of Numerical Methods. 77. Finitedifference Methods for Onefactor Models. 78. Further Finitedifference Methods for Onefactor Models. 79. Finitedifference Methods for Twofactor Models. 80. Monte Carlo Simulation and Related Methods. 81. Numerical Integration and Simulation Methods. 82. Finitedifference Programs. 83. Monte Carlo Programs. A. All the Math You Need... and No More (An Executive Summary).
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Online
SAL3 (offcampus storage)
SAL3 (offcampus storage)  Status 

Stacks

Request (opens in new tab) 
HG6024 .A3 W555 2006 V.1  Available 
HG6024 .A3 W555 2006 V.2  Available 
HG6024 .A3 W555 2006 V.3  Available 
 Fengler, Matthias R.
 Berlin ; New York : Springer, ©2005.
 Description
 Book — 1 online resource (xv, 224 pages) : illustrations Digital: text file; PDF.
 Summary

 The Implied Volatility Surface. Smile Consistent Volatility Models. Smoothing Techniques. DimensionReduced Modeling. Conclusion and Outlook.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Roman, Steven.
 New York : Springer, [2004]
 Description
 Book — 1 online resource (xiv, 354 pages) : illustrations Digital: text file.PDF.
 Summary

 Notation key and Greek alphabet
 1. Probability I : an introduction to discrete probability
 2. Portfolio management and the capital asset pricing model
 3. Background on options
 4. An aperitif on arbitrage
 5. Probability II : more discrete probability
 6. Discretetime pricing models
 7. The CoxRossRubinstein model
 8. Probability III : continuous probability
 9. The BlackScholes option pricing formula
 10. Optimal stopping and American options
 App. A. Pricing nonattainable alternatives in an incomplete market
 App. B. Convexity and the separation theorem.
(source: Nielsen Book Data)
 Rouah, Fabrice, 1964
 Hoboken, New Jersey : John Wiley & Sons, Inc., [2013]
 Description
 Book — 1 online resource Digital: text file.
 Summary

 Foreword ix Preface xi Acknowledgments xiii
 CHAPTER 1 The Heston Model for European Options 1 Model Dynamics 1 The European Call Price 4 The Heston PDE 5 Obtaining the Heston Characteristic Functions 10 Solving the Heston Riccati Equation 12 Dividend Yield and the Put Price 17 Consolidating the Integrals 18 BlackScholes as a Special Case 19 Summary of the Call Price 22 Conclusion 23
 CHAPTER 2 Integration Issues, Parameter Effects, and Variance Modeling 25 Remarks on the Characteristic Functions 25 Problems With the Integrand 29 The Little Heston Trap 31 Effect of the Heston Parameters 34 Variance Modeling in the Heston Model 43 Moment Explosions 56 Bounds on Implied Volatility Slope 57 Conclusion 61
 CHAPTER 3 Derivations Using the Fourier Transform 63 The Fourier Transform 63 Recovery of Probabilities With GilPelaez Fourier Inversion 65 Derivation of Gatheral (2006) 67 Attari (2004) Representation 69 Carr and Madan (1999) Representation 73 Bounds on the CarrMadan Damping Factor and Optimal Value 76 The CarrMadan Representation for Puts 82 The Representation for OTM Options 84 Conclusion 89
 CHAPTER 4 The Fundamental Transform for Pricing Options 91 The Payoff Transform 91 The Fundamental Transform and the Option Price 92 The Fundamental Transform for the Heston Model 95 Option Prices Using Parseval s Identity 100 Volatility of Volatility Series Expansion 108 Conclusion 113
 CHAPTER 5 Numerical Integration Schemes 115 The Integrand in Numerical Integration 116 NewtonCotes Formulas 116 Gaussian Quadrature 121 Integration Limits and Kahl and J .. ackel Transformation 130 Illustration of Numerical Integration 136 Fast Fourier Transform 137 Fractional Fast Fourier Transform 141 Conclusion 145
 CHAPTER 6 Parameter Estimation 147 Estimation Using Loss Functions 147 Speeding up the Estimation 158 Differential Evolution 162 Maximum Likelihood Estimation 166 RiskNeutral Density and ArbitrageFree Volatility Surface 170 Conclusion 175
 CHAPTER 7 Simulation in the Heston Model 177 General Setup 177 Euler Scheme 179 Milstein Scheme 181 Milstein Scheme for the Heston Model 183 Implicit Milstein Scheme 185 Transformed Volatility Scheme 188 Balanced, Pathwise, and IJK Schemes 191 QuadraticExponential Scheme 193 Alfonsi Scheme for the Variance 198 Moment Matching Scheme 201 Conclusion 202
 CHAPTER 8 American Options 205 LeastSquares Monte Carlo 205 The Explicit Method 213 BeliaevaNawalkha Bivariate Tree 217 MedvedevScaillet Expansion 228 Chiarella and Ziogas American Call 253 Conclusion 261
 CHAPTER 9 TimeDependent Heston Models 263 Generalization of the Riccati Equation 263 Bivariate Characteristic Function 264 Linking the Bivariate CF and the General Riccati Equation 269 Mikhailov and No. gel Model 271 Elices Model 278 BenhamouMiriGobet Model 285 BlackScholes Derivatives 299 Conclusion 300
 CHAPTER 10 Methods for Finite Differences 301 The PDE in Terms of an Operator 301 Building Grids 302 Finite Difference Approximation of Derivatives 303 The Weighted Method 306 Boundary Conditions for the PDE 315 Explicit Scheme 316 ADI Schemes 321 Conclusion 325
 CHAPTER 11 The Heston Greeks 327 Analytic Expressions for European Greeks 327 Finite Differences for the Greeks 332 Numerical Implementation of the Greeks 333 Greeks Under the Attari and CarrMadan Formulations 339 Greeks Under the Lewis Formulations 343 Greeks Using the FFT and FRFT 345 American Greeks Using Simulation 346 American Greeks Using the Explicit Method 349 American Greeks from Medvedev and Scaillet 352 Conclusion 354
 CHAPTER 12 The Double Heston Model 357 MultiDimensional FeynmanKAC Theorem 357 Double Heston Call Price 358 Double Heston Greeks 363 Parameter Estimation 368 Simulation in the Double Heston Model 373 American Options in the Double Heston Model 380 Conclusion 382 Bibliography 383 About the Website 391 Index 397.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Iacus, Stefano M. (Stefano Maria)
 Chichester, U.K. : J. Wiley & Sons, 2011.
 Description
 Book — 1 online resource (xv, 456 pages) : illustrations Digital: text file.
 Summary

 Preface. 1. A Synthetic View. 1.1 The World of Derivatives. 1.2 Bibliographic Notes. References. 2. Probability, Random Variables and Statistics. 2.1 Probability. 2.2 Bayes' Rule. 2.3 Random Variables. 2.4 Asymptotics. 2.5 Conditional Expectation. 2.6 Statistics. 2.7 Solution to Exercises. 2.8 Bibliographic Notes. References. 3. Stochastic Processes. 3.1 Definition and First Properties. 3.2 Martingales.
 3.3 Stopping Times. 3.4 Markov Property. 3.5 Mixing Property. 3.6 Stable Convergence. 3.7 Brownian Motion. 3.8 Counting and Marked Processes. 3.9 Poisson Process. 3.10 Compound Poisson process. 3.11 Compensated Poisson processes. 3.12 Telegraph Process. 3.13 Stochastic Integrals. 3.14 More Properties and Inequalities for the Ito Integral. 3.15 Stochastic Differential Equations. 3.16 Girsanov's theorem for diffusion processes. 3.17 Local Martingales and Semimartingales. 3.18 Levy Processes. 3.19 Stochastic Differential Equations in Rn. 3.20 Markov Switching Diffusions. 3.21 Solution to Exercises. 3.22 Bibliographic Notes. References. 4. Numerical Methods. 4.1 Monte Carlo Method. 4.2 Numerical Differentiation. 4.3 Root Finding. 4.4 Numerical Optimization. 4.5 Simulation of Stochastic Processes. 4.6 Solution to Exercises. 4.7 Bibliographic Notes. References. 5. Estimation of Stochastic Models for Finance. 5.1 Geometric Brownian Motion. 5.2 QuasiMaximum Likelihood Estimation. 5.3 ShortTerm Interest Rates Models. 5.4 Exponential Levy Model. 5.5 Telegraph and Geometric Telegraph Process. 5.6 Solution to Exercises. 5.7 Bibliographic Notes. References. 6. European Option Pricing. 6.1 Contingent Claims. 6.2 Solution of the Black & Scholes Equation. 6.3 The Hedging and the Greeks. 6.4 Pricing Under the Equivalent Martingale Measure. 6.5 More on Numerical Option Pricing. 6.6 Implied Volatility and Volatility Smiles. 6.7 Pricing of Basket Options. 6.8 Solution to Exercises. 6.9 Bibliographic Notes. References. 7. American Options. 7.1 Finite Difference Methods. 7.2 Explicit FiniteDifference Method. 7.3 Implicit FiniteDifference Method. 7.4 The Quadratic Approximation. 7.5 Geske & Johnson and Other Approximations. 7.6 Monte Carlo Methods. 7.7 Bibliographic Notes. References. 8. Pricing Outside the Standard Black & Scholes Model. 8.1 The Levy Market Model. 8.2 Pricing Under the Jump Telegraph Process. 8.3 Markov Switching Diffusions. 8.4 The Benchmark approach. 8.5 Bibliographic Notes. References. 9. Miscellanea. 9.1 Monitoring of the Volatility. 9.2 Asynchronous Covariation Estimation. 9.3 LASSO Model Selection. 9.4 Clustering of Financial Time Series. 9.5 Bibliographic Notes. References. A. 'How to' Guide to R. A.1 Something to Know Soon About R. A.2 Objects. A.3 S4 Objects. A.4 Functions. A.5 Vectorization. A.6 Parallel Computing in R. A.7 Bibliographic Notes. References. B. R in Finance. B.1 Overview of Existing R Frameworks. B.2 Summary of Main Time Series Objects in R. B.3 Dates and Time Handling. B.4 Binding of Time Series. B.5 Loading Data From Financial Data Servers. B.6 Bibliographic Notes. References. Index.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
 Roman, Steven.
 New York : Springer, ©2004.
 Description
 Book — xiv, 354 pages : illustrations ; 25 cm.
 Summary

 Notation key and Greek alphabet
 1. Probability I : an introduction to discrete probability
 2. Portfolio management and the capital asset pricing model
 3. Background on options
 4. An aperitif on arbitrage
 5. Probability II : more discrete probability
 6. Discretetime pricing models
 7. The CoxRossRubinstein model
 8. Probability III : continuous probability
 9. The BlackScholes option pricing formula
 10. Optimal stopping and American options
 App. A. Pricing nonattainable alternatives in an incomplete market
 App. B. Convexity and the separation theorem.
(source: Nielsen Book Data)
 Online
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks  
HG4515.3 .R66 2004  Unknown 
 Grohs, Philipp, author.
 Providence, RI : AMS, American Mathematical Society, 2023.
 Description
 Book — 1 online resource (pages cm.)
 Summary

 1. Introduction 2. Probabilistic and analytic preliminaries 3. Artificial neural network approximations 4. Artificial neural network approximations for BlackScholes partial differential equations
 Rostek, Stefan.
 Berlin ; Heidelberg : SpringerVerlag, ©2009.
 Description
 Book — 1 online resource
 Summary

 Introduction
 Fractional Integration Calculus
 Fractional Binomial Trees
 Characteristics of the Fractional Brownian Market: Arbitrage and Its Exclusion
 Risk Preference Based Option Pricing in a Continuous Time Fractional Brownian Market
 Risk Preference Based Option Pricing in the Fractional Binomial Setting
 Conclusion.
96. An introduction to financial option valuation : mathematics, stochastics, and computation [2004]
 Higham, Desmond J., 1964
 Cambridge, UK ; New York : Cambridge University Press, 2004.
 Description
 Book — 1 online resource (xxi, 273 pages) : illustrations
 Summary

 1. Introduction
 2. Option valuation preliminaries
 3. Random variables
 4. Computer simulation
 5. Asset price movement
 6. Asset price model: part I
 7. Asset price model: part II
 8. BlackScholes PDE and formulas
 9. More on hedging
 10. The Greeks
 11. More on the BlackScholes formulas
 12. Risk neutrality
 13. Solving a nonlinear equation
 14. Implied volatility
 15. The Monte Carlo method
 16. The binomial method
 17. Cashornothing options
 18. American options
 19. Exotic options
 20. Historical volatility
 21. Monte Carlo part II: variance reduction by antithetic variates
 22. Monte Carlo part III: variance reduction by control variates
 23. Finite difference methods
 24. Finite difference methods for the BlackScholes PDE.
 (source: Nielsen Book Data)
(source: Nielsen Book Data)
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