Suchergebnisse

Leading one's life as a person is an essential feature of our human existence which is constitutively characterized by finiteness, sociality and vulnerability. Within the framework of a pragmatistic anthropology central features of our being persons (i.e. personal identity, self-consciousness, freedom, autonomy and responsibility) are made explicit in this study. The such unfolded conception is anthropological in the sense of being restricted to the human life-form. The explication is pragmatistic in a double sense: Firstly, action is taken as a complex and not reducible basic feature; secondly, the study is committed to the pragmatistic model of justification. Leading one's life as a human person, this is the study's central thesis, is realized in constellations of recognition (intersubjective or institutionally framed). These can be made explicit as basic grammar of our evaluative Praxis within an ascriptivist framework.

This book is a quantitative quide to barrier options in FX environments. Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in the FX options market, and are second only to vanilla options, representing a huge portion of this trillion dollar market. Structured products in FX commonly include barrier features, and in order to analyse the effect these features have on the overall structured product, it is important first to understand how individual barrier options work. This book takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It will derive, demonstrate and analyse a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation and risk-management models across a range of scenarios. Coverage will include

Innovative insights on creating models that will help you become a disciplined intelligent investorThe pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come "hell or high water" which, in his view, was one of the most important aspects of investing. So, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective, then to invest usin.

"The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, enabling the question of how do we measure risk? "--

Why everyone needs analytical skills -- Framing the problem -- Solving the problem -- Communicating and acting on results -- Quantitative analysis and creativity -- Developing quantitative analysis capabilities -- Working with quants

1 Introduction -- 1.1 Introduction -- 1.2 Wide popularity of the SABR -- 1.3 Simple derivation -- 1.4 Modifications and extensions of the SABR -- 1.5 CMS and the SABR -- 1.6 Approximation accuracy and its improvements -- 1.7 About this book -- 2 Exact Solutions to CEV Model with Stochastic Volatility -- 2.1 Introduction -- 2.2 Transforming CEV Process into the Bessel One -- 2.3 Solution behavior near singular point x = 0, integrability, flux -- 2.4 Laplace Transform -- 2.5 Probability distributions -- 2.6 Back to CEV model -- 2.6.1 Option pricing through Chi Square distributions -- 2.7 Alternative expressions for CEV option values -- 2.8 CEV Model with Stochastic Volatility -- 2.9 Conclusion -- 3 Classic SABR Model: Exactly Solvable Cases -- 3.1 Introduction -- 3.2 Probability Density Functions for the Free Normal and Log-Normal SABR, Probabilistic Approach -- 3.3 Deriving PDFs using Kolmogorov equations -- 3.4 Option Value for the Free Normal SABR -- 3.5 Option Value for the Lognormal SABR -- 3.6 The Zero Correlation case -- 4 Classic SABR Model: Heat Kernel Expansion and Projection on Solvable Models -- 4.1 Introduction -- 4.2 Invariant forms of Diffusion Equations -- 4.3 Heat Kernel Expansion -- 4.4 Non-Zero Correlation General Case -- 4.5 Conclusion -- References