Items related to Advances in Futures and Options Research: Vol 10

Advances in Futures and Options Research: Vol 10 - Hardcover

Boyle, Phelim P.; Pennacchi, George; Ritchken, Peter

 
9780762303267: Advances in Futures and Options Research: Vol 10
Hardcover
ISBN 10: 0762303263 ISBN 13: 9780762303267
Publisher: JAI Press Inc., 1999

Synopsis

Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field. Contents: Editorial statement. Abstracts. Discrete Parisian and delayed barrier options: a general numerical approach (K.R. Vetzal, P.S. Forsyth). The pricing of double barrier options and their variations (A. Li). Numeraire invariance, change of measure, and pricing by arbitrage in continuous time financial models (P.L. Jorgensen, J. Raaballe). Introducing a twist into finite state Heath-Jarrow-Morton term structure modeling (D. Xu). Wiener chaos and hermite polynomials expansions for pricing and hedging contingent claims (E. Barucci, M. Elvira Mancino). Valuing insurance for defined-benefit pension plans (C.M. Lewis, G.G. Pennacchi). Strategic decisions in ocean shipping with contingent claims (F. de O. Goncalves). Optimal conversion terms for a subordinated zero-coupon convertible bond (S.S.A. Low, J. Muthuswamy and E. Terry). The economic significance of the forecast bias of S&P 100 index option implied volatility (J. Fleming). Futures hedging and stochastic volatility (Da-Hsiang Donald Lien).

"synopsis" may belong to another edition of this title.

From the Back Cover

Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field. Contents: Editorial statement. Abstracts. Discrete Parisian and delayed barrier options: a general numerical approach (K.R. Vetzal, P.S. Forsyth). The pricing of double barrier options and their variations (A. Li). Numeraire invariance, change of measure, and pricing by arbitrage in continuous time financial models (P.L. Jorgensen, J. Raaballe). Introducing a twist into finite state Heath-Jarrow-Morton term structure modeling (D. Xu). Wiener chaos and hermite polynomials expansions for pricing and hedging contingent claims (E. Barucci, M. Elvira Mancino). Valuing insurance for defined-benefit pension plans (C.M. Lewis, G.G. Pennacchi). Strategic decisions in ocean shipping with contingent claims (F. de O. Goncalves). Optimal conversion terms for a subordinated zero-coupon convertible bond (S.S.A. Low, J. Muthuswamy and E. Terry). The economic significance of the forecast bias of S&P 100 index option implied volatility (J. Fleming). Futures hedging and stochastic volatility (Da-Hsiang Donald Lien).

"About this title" may belong to another edition of this title.

Publisher
JAI Press Inc.
Publication date
1999
Language
English
ISBN 10 
0762303263
ISBN 13 
9780762303267
Binding
Hardcover
Number of pages
280