Advances in Futures and Options Research
Vol 10
Will be published approx. on 22. November 1999
Book
Hardback
280 pages
978-0-7623-0326-7 (ISBN)
Description
Part of a series which focuses on advances in futures and options research, this volume discusses a variety of topics in the field.
Reviews / Votes
Ten papers present research pertaining to futures and options instruments. ... Boyle is at the University of Waterloo. Pennacchi is at the University of Illinois. Ritchken is at Weatherhead School of Management, Case Western Reserve University. Journal of Economic LiteratureMore details
Series
Language
English
Place of publication
United States
Publishing group
Emerald Publishing Limited
Target group
Professional and scholarly
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 20 mm
Weight
587 gr
ISBN-13
978-0-7623-0326-7 (9780762303267)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Content
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).