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A Non-Gaussian Pricing Model for Structured Products

2018
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Release : 2018
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Book Synopsis A Non-Gaussian Pricing Model for Structured Products by : Denis Zuev

Download or read book A Non-Gaussian Pricing Model for Structured Products written by Denis Zuev. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: The paper aims to reconstruct the empirical premia of the structured products with two underlying assets. We apply various models that differ in probability distributions of the underlying price processes.Pricing techniques, currently worldwide accepted, are based on the Black-Scholes model modifications with Gaussian distributions. Conventionally a correlation between underlying price processes is not considered. In order to achieve the overall objective the paper suggests a pricing model of structured products. The model considers a non-Gaussian realistic market framework for pricing the underlying assets and takes into account their correlation.The theoretical and methodological basis of our research is quantitative finance, evolutionary equations, dynamical systems and field theory.The paper presents an example of pricing a range of structured products.We find that the approach to the theoretical premium valuation of the complex financial instrument is interrelated bijectively with statistical properties of the underlying assets. In particular, the paper presents the effectiveness of our model with regard to the structured derivatives with the correlated assets that obey non-Gaussian distributions. The fair value of the structured product evaluated using our model outperforms estimates obtained by means of other methods as it allows lower fair price of the derivatives.The results of our research may be beneficial to academics, market participants including market analysts, risk-managers and developers of financial products.We have concluded that market participants carry extra costs due to the simple models of the structured products' fair value pricing they apply.The proposed model looks especially promising within the context of the complex derivatives market which growth has been accompanied by low liquidity and high premia, in the absence of a unique framework for pricing the structured products that would be consistent with financial market practice.

Financial Modeling Under Non-Gaussian Distributions

2007-04-05 Mathematics
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Release : 2007-04-05
Genre : Mathematics
Kind : eBook
Book Rating : 964/5 ( reviews)

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Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau

Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau. This book was released on 2007-04-05. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

FX Options and Structured Products

2017-06-30 Business & Economics
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Release : 2017-06-30
Genre : Business & Economics
Kind : eBook
Book Rating : 13X/5 ( reviews)

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Book Synopsis FX Options and Structured Products by : Uwe Wystup

Download or read book FX Options and Structured Products written by Uwe Wystup. This book was released on 2017-06-30. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.

Handbook of Research on Supply Chain Resiliency, Efficiency, and Visibility in the Post-Pandemic Era

2022-04-15 Business & Economics
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Release : 2022-04-15
Genre : Business & Economics
Kind : eBook
Book Rating : 084/5 ( reviews)

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Book Synopsis Handbook of Research on Supply Chain Resiliency, Efficiency, and Visibility in the Post-Pandemic Era by : Ramakrishna, Yanamandra

Download or read book Handbook of Research on Supply Chain Resiliency, Efficiency, and Visibility in the Post-Pandemic Era written by Ramakrishna, Yanamandra. This book was released on 2022-04-15. Available in PDF, EPUB and Kindle. Book excerpt: The COVID-19 pandemic has adversely affected the supply chains of all sectors of business worldwide. The pandemic has made it evident that by managing supply chains in a traditional manner organizations will no longer be able to achieve profits and improve customer satisfaction. This calls for immediate structural changes in organizations, flexible organizational culture, and a sense of urgency to redefine strategies related to supply chains. The Handbook of Research on Supply Chain Resiliency, Efficiency, and Visibility in the Post-Pandemic Era explores diverse strategies for achieving capabilities related to supply chain resilience and seeks to expand the existing body of knowledge in this area. It develops models, frameworks, and theoretical concepts related to supply chain resilience to enhance efficiency and improve visibility of supply chains. Covering topics such as change management, production relocation, and supply chain risk, this book is an essential reference for business leaders, corporate executives, industry practitioners, researchers, academicians, educators, and students.

Nonlinear Valuation and Non-Gaussian Risks in Finance

2022-02-03 Mathematics
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Release : 2022-02-03
Genre : Mathematics
Kind : eBook
Book Rating : 49X/5 ( reviews)

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Book Synopsis Nonlinear Valuation and Non-Gaussian Risks in Finance by : Dilip B. Madan

Download or read book Nonlinear Valuation and Non-Gaussian Risks in Finance written by Dilip B. Madan. This book was released on 2022-02-03. Available in PDF, EPUB and Kindle. Book excerpt: What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.

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