Description
Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.
Details
- Price: $154.99
- Pages: 280
- Carton Quantity: 1
- Publisher: Emerald Group Publishing Limited
- Imprint: JAI Press Inc.
- Series: Advances in Futures and Options Research
- Publication Date: 22nd November 1999
- ISBN: 9780762303267
- Format: Hardcover
- BISACs:
BUSINESS & ECONOMICS / Forecasting
Table of 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).
Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.
- Price: $154.99
- Pages: 280
- Carton Quantity: 1
- Publisher: Emerald Group Publishing Limited
- Imprint: JAI Press Inc.
- Series: Advances in Futures and Options Research
- Publication Date: 22nd November 1999
- ISBN: 9780762303267
- Format: Hardcover
- BISACs:
BUSINESS & ECONOMICS / Forecasting
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).