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Математика Математика
Основы математического анализа и элементы дифференциальных уравнений Основы математического анализа и элементы дифференциальных уравнений

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A Risk Neutral Stochastic Implied Volatility Model and Applications. The Dynamics of At-the-Money Implied Volatility with its Applications

Автор:   Peng(?) H.(.
мягкая обложка
68 страниц
2009 год
Издательство:   Книга по Требованию
Цена:
1994 руб
отсутсвует
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способы доставки и оплаты
Описание:Three characteristics of implied volatility are presented. The dynamics of smile surface lead practitioner and researcher to introduce the randomness in the implied volatility, which is are specific in option markets. We proved that the implied volatility of At-the-Money options mature immediately should converge to underlying volatility at the rate of time to maturity, which specifies the stochastic process of underlying volatility. The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field. Barrier option is priced and future implied volatility is forecast off the simulation. The two model parameters are able to explain market skew phenomena quite well. Skew curve and terminal underlying price distribution are studied. After the proper model setup, the risk-neutral drift term of stochastic implied volatility is derived, which is necessary to be no-arbitrage. Monte Carlo simulation is used to simulate the complex whole system. The monograph develops a risk-neutral stochastic At- the-Money implied volatility model and its applications.


Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка

2990 руб
Бесплатная доставка


Journeys out of the body, Practical Guidebook

This is the most amazing experience that a person can attain! The initial phase encounter is always jolting and sometimes frightening. Depending on the individual, fear experienced during initial encounters with the phase occurs in about one-third of all cases. Even veteran practitioners encounter fear, which speaks to the profound nature of the phase state. With time, as rapture ebbs and emotions wane, thoughts turn from the fact of the phenomenon itself towards how to somehow use it. And here, a fantastically diverse field of practical application opens up before the practitioner. These applications БЂ“ which this book communicates БЂ“ are not to be associated with the many unproven and dubious methods often described in sundry esoteric literature. The information presented herein is verifiable, practical, and attainable. Whatever the nature of the phase - a state of mind, or perhaps an external experience - this is the sole opportunity to: visit any part of the world or universe; see people who are out-of-reach in real life, including relatives, the deceased, celebrities, and various creatures; communicate with the enormous resources of the subconscious mind and obtain information from it; realize desires that are unattainable in real life; model artistic productions; influence physiology, and more ...»

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Матрас-кокон "Зевушка".
«Зевушка» - это удобная постель для деток в возрасте до 6 месяцев, в которой они быстрее засыпают, лучше спят и проще адаптируются к
5200 руб
Раздел: Матрацы до 120 см
Настольная игра "Битва полов", артикул 7747.
Предлагаем вам принять участие в извечном противостоянии мужчин и женщин. В настоящей битве сойдутся мужское мышление и женская логика,
568 руб
Раздел: Игры для взрослых (18+)
Рамочка на 12 фотографий "Первый год" (белая).
Рамочка с отпечатком - это особый подход к созданию очаровательного подарка на память для этого особого периода жизни, с картинкой и
2503 руб
Раздел: Мультирамки


Option Implied Volatility. Volatility Estimation, Smile Phenomenon, and Forecasting
Due to the high liquidity of the at-the-money option and the less sensitivity of its implied volatility to the price error, the at-the-money implied volatility is often considered a good measure of the future volatility.
          2005 руб             2008 год          76 стр.          мягкая обложка

Tree estimation for Stochastic Volatility Models The Anderson SPDE. Lyapunov exponent estimation for the Anderson model in continuous space Approximation for diffusion models using a recombining tree.
We show that the relevant quantity (the Lyapunov exponent) exists, and we provide tight lower and upper bounds for it. This text is divided into two parts.
          2005 руб             2010 год          116 стр.          мягкая обложка

Analysis and Fitting of Random Tessellation Models. Applications in Telecommunication and Cell Biology
Innovative techniques from spatial statistics and image analysis are developed and applied in order to perform a structural analysis of these networks.
          3231 руб             2008 год          220 стр.          мягкая обложка

A practical application of the business IT alignment model in the hospitality industry: Business IT alignment model application in the hospitality industry. A case study in a Small Economy
Despite the very important position of the hotel business and the popularity of IT no research has been done in the field of IT usage in the hotel sector; hence there is limited knowledge in the The Hotel business in considered to be one of the most important businesses on the island of Aruba.
          2277 руб             2010 год          148 стр.          мягкая обложка

Extreme Risk Analysis of Dynamic Interdependent Systems. With Applications to Sectors of the Economy and Financial Modeling
Over the past decades, risk analysis and risk-based methodologies have been widely and increasingly supporting government agencies and industries in the daily decisionmaking process.
          2413 руб             2008 год          144 стр.          мягкая обложка

Consistent Nelson and Siegel Yield Curve Models. Derivation and Applications
This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model.
          2744 руб             2009 год          168 стр.          мягкая обложка

Risk Management in Electricity Markets. Theory, Methods and Applications
The first part describes the book’s theoretical foundation and background.
          3188 руб             2009 год          284 стр.          мягкая обложка

Simulation of water pollution in canals due to Acid Sulphate Soils. Methodology, Experiments, Modeling and Applications
Acid Sulphate Soils cause acidic pollution in canal water, which negatively impacts on environmental water and the livelihood of farmers.
          3212 руб             2009 год          232 стр.          мягкая обложка

Derivation of Process Algebraic Models of Biochemical Systems. ?-calculus, Stochastic Simulation of Biochemical Reactions
The concepts in the book are supported using various examples and code snippets to implement them.
          2400 руб             2009 год          144 стр.          мягкая обложка

Graph Classes based on Interval Structures. Combinatorial Optimization and Recognition of Graph Classes with Applications to Related Models
In the context of tolerance graphs, we present the first non-trivial intersection model, given by three-dimensional parallelepipeds, which enables the design of efficient algorithms for some NP-hard optimization problems.
          3618 руб             2010 год          164 стр.          мягкая обложка

A Column Generation Approach For Stochastic Optimization Problems. In the applications of a stochastic generalized assignment problem and a shift planning and scheduling problem with uncertain demand
This book investigates the use of stochastic optimization models for a generalized assignment problem (GAP) with uncertain resource capacity and a shift planning and scheduling problem (SPSP) with unknown demand.
          2413 руб             2009 год          124 стр.          мягкая обложка

A Combustion Model for Engineering Applications. A Two-Conserved Scalar Model for HCCI and PPCI Engine Applications
Although computational fluid dynamics (CFD) codes coupled with detailed chemical kinetics can provide accurate insight of the ongoing processes, their high computational cost prohibits their use as a primary engineering tool.
          3231 руб             2008 год          268 стр.          мягкая обложка

A Model for Assessing Performance System Risk. An Exploratory Study of the Organizational Performance System (OPS) Instrument as an Identifier of Performance System Risk
When performance systems are aligned, they foster optimal conditions for effective and efficient organizational performance.
          2781 руб             2010 год          160 стр.          мягкая обложка

Observation Based PDE Models for Stochastic Production Systems. Supply Chain Modeling
It is demonstrated that PDE models are preferable to simulate large and complex production systems, because they are accurate, fast, and amenable themselves to optimization, which is a quite important advantage for a mathematical model.
          2005 руб             2009 год          72 стр.          мягкая обложка

An Early Warning Model for Currency Crises in CEE Countries. Development and Application of an Early Warning Model for CEE Countries
Overall, the model appears to track developments in individual countries rather well, although the importance of some variables seems to change over time.
          2005 руб             2009 год          52 стр.          мягкая обложка

A Deformable Finite Element Model for Breast Image Registration. An Application on MRI/PET Breast Images
More complete information about the volumes of interest can be provided by registration and fusion of multiple image volumes created by different modalities.
          2005 руб             2009 год          104 стр.          мягкая обложка

Sensitivity Analysis of Probabilistic Graphical Models. Theoretical Results and Their Applications on Bayesian Network Modeling and Inference
Probabilistic graphical models such as Bayesian networks are widely used for large-scale data analysis in various fields such as customer data analysis and medical diagnosis, as they model probabilistic knowledge naturally and allow the use of efficient inference algorithms to draw conclusions from the model.
          2781 руб             2009 год          164 стр.          мягкая обложка

Extended Switching Regression Models. Theory and Applications
In this book, we generalized this modeling approach.
          2005 руб             2009 год          116 стр.          мягкая обложка

Water Supply, Sanitation, and Gastrointestinal Illness. Estimating the Risk of Disease Using Cross-sectional Data and Marginal Structural Models
A common way investigators estimate causal effects is though the use of randomized controlled trials (RCTs).
          2005 руб             2008 год          120 стр.          мягкая обложка

Geometric Modelling of Statically and Dynamically Symmetric Patterns. Theory, Generation and Applications
Moreover, such analysis is usually specific to a particular design (or a class of designs) and is difficult to generalize.
          2781 руб             2009 год          172 стр.          мягкая обложка

The Neutral Mask. Its Origins and Its Applications to the Creative Processes of the Actor
What is the Neutral Mask?
          2005 руб             2010 год          108 стр.          мягкая обложка

Finance and Physics. Stochastic Models for Pricing Options and Other Derivatives
Furthermore, the inclusion of stochastic volatilities is crucial to describe option prices sufficiently accurately.
          2413 руб             2010 год          128 стр.          мягкая обложка

Advanced Applications and Services for Pervasive Computing Scenarios. Models, Technologies and Applications
Once the above elements are well integrated in a framework (or paradigm) for application development, my thesis demonstrates how users provided of a computing device (as a modern mobile phone or PDA) and of technologies enabling the interaction with the surrounding world (as RFID reader, GPS antenna or a Wireless Sensor Network) gain access to a number of futuristic and unexplored services and applications.
          2781 руб             2010 год          164 стр.          мягкая обложка

Hidden Markov Model for Text Classification using LC Classification. Framework, Design, and Application
Text classification (TC) is the task of automatically categorizing text into pre-set categories by analyzing their contents.
          2781 руб             2008 год          180 стр.          мягкая обложка

Incremental Learning, Interpretability and Stability Issues, Applications Evolving Fuzzy Models.
This requires an adaptation of model parameters and an evolution of model structures with incremental learning steps, as a complete rebuilding from time to time with all recorded measurements would not terminate in real-time.
          2413 руб             2008 год          152 стр.          мягкая обложка

Trust Management Middleware for Internet Applications. Combining Trust, Recommendation, Risk and Experience
This book presents the SULTAN Trust Management framework, which consists of a simple notation for specifying trust and recommendation concepts and a set of tools for specifying, analysing and monitoring trust specifications.
          3231 руб             2009 год          260 стр.          мягкая обложка

SURVIVAL OF TUBERCULOSIS PATIENTS TREATED UNDER DOTS. Estimation of Survival Probabilities and Identify the Risk Factors for Death of Tuberculosis Patients Using the Kaplan-Meier and Cox-Regression Model
According to the MOH hospitals' statistical data; in Ethiopia, tuberculosis is the leading cause of morbidity, the third cause of hospital admission (following deliveries and malaria), and the second cause of death next to malaria. So, what are the factors that facilitate the death of TB patients? This book; therefore, estimates the survival probabilities and identifies the major risk factors for the death of tuberculosis patients during treatment. The analytical methodologies used in this book are the Kaplan-Meier, Cox' s regression and stratified Cox' s regression model. The findings should especially be useful to health policy makers and clinicians, or to anyone else who may conduct further investigation on reducing the death of tuberculosis patients. In developing countries, like Ethiopia, tuberculosis continues to be a major health problem. Recent evidences tend to demonstrate that tuberculosis prevalence and its death rates are globally decreasing after having reached a peak.
          2005 руб             2010 год          84 стр.          мягкая обложка

Volatility Risk
Volatility risk in financial markets is the likelihood of fluctuations in the exchange rate of currencies.
          1596 руб             2010 год          124 стр.          мягкая обложка

Structural Credit Risk Models. An Empirical Study
Three different credit risk models are presented, implemented, and calibrated to real data.
          1875 руб             2011 год          120 стр.          мягкая обложка

HOW GOOD IS MERTON MODEL AT ASSESSING CREDIT RISK? EVIDENCE FROM INDIA
          1920 руб             2011 год          56 стр.          мягкая обложка

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