Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts: Wilmott Magazine Article – Dennis Yang

In this tutorial, various derivative pricing notions in incomplete markets are illustrated using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions.

Logged-in members can download the article by clicking the link below. To log in or register visit here.

Related Posts

All Change SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm's outlook on technology i...
Teraflops for Games and Derivatives Pricing: Wilmo... Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster a...
Finformatics: How to Measure Really Small Things Traders in financial assets implicitly compare the trading price to the stream of dividends the assets stand to generate. Clearly, a key determina...
A VaR-based Model for the Yield Curve An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potentia...
Pricing Rainbow Options A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applicati...
Valuation of American Call Options The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are m...
Life Settlements and Viaticals In this chapter… • life • sex • death 1 Introduction And now for something completely. . .morbid. Life settlements and viaticals are contra...
Calibration problems – An inverse problems v... When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the m...
130110_yang