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목차 PREFACE ACKNOWLEDGEMENTS NOTATION PT. 1 IMPLEMENTING MODELS IN A GENERALISED BLACK-SCHOLES WORLD CH. 1 THE BLACK-SCHOLES WORLD, OPTION PRICING AND NUMERICAL TECHNIQUES ... 3 CH. 2 THE BINOMIAL METHOD ... 10 CH. 3 TRINOMIAL TREES AND FINITE DIFFERENCE METHODS ... 52 CH. 4 MONTE CARLO SIMULATION ... 82 CH. 5 IMPLIED TREES AND EXOTIC OPTIONS ... 134 PT. 2 IMPLEMENTING INTEREST RATE MODELS CH. 6 ..

Exponential Weighted Moving Average (EWMA) Volatility Measure One of the drawbacks with the historical approach of forecasting volatility of asset prices is that all observations during the sampling period (the squared periodic returns) are assigned equal weights. This does not make much sense since recent returns in the market tend to have a higher influence in forecasting volatility than past ..

What is volatility clustering? Volatility clustering is a frequently observed financial time series phenomena where periods of high volatility cluster together as do periods of low volatility. For e.g, refer the following graph which displays the return of Dow Jones index between 1991 - 2003. One can clearly observe from the graph that large fluctuations in returns tend to be followed by similar..

Volatility Measures - Historical, ARCH,EWMA and GARCH Volatility of the underlying asset is a key input in theoretical option pricing models. The most popular volatility measures used by market practitioners are: Historical Volatility ARCH (Auto Regressive Conditional Heteroskedasticity) EWMA (Exponential Weighted Moving Average) GARCH (Generalized Autoregressive Conditional Heteroskedasticity) ..

Dynamic Asset Pricing Theory, Third Edition. Darrell Duffie Book Description | Reviews TABLE OF CONTENTS: Preface xiii PART I DISCRETE-TIME MODELS 1 1. Introduction to State Pricing 3 A. Arbitrage and State Prices 3 B. Risk-Neutral Probabilities 4 C. Optimality and Asset Pricing 5 D. Efficiency and Complete Markets 8 E. Optimality and Representative Agents 8 F. State-Price Beta Models 11 Exercis..

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The Dirac delta or Dirac's delta is a mathematical construct introduced by the British theoretical physicist Paul Dirac. Informally, it is a function representing an infinitely sharp peak bounding unit area: a function δ(x) that has the value zero everywhere except at x = 0 where its value is infinitely large in such a way that its total integral is 1. It is a continuous analogue of the discrete..