132 research outputs found
Pricing Derivatives: The Financial Concepts Underlying the Mathematics of Pricing Derivatives
No full textA fresh, fundamentals-based approach for accurate derivative pricing
Pricing Derivatives presents a specialized approach to accurately pricing derivatives by stressing the conceptual foundations underlying the mathematics. Noted mathematics professor and investing consultant Ambar Sengupta provides a sound understanding of the essential topics of derivative pricing and outlines methodologies for arriving at exact pricing formulas based on the fundamental relationship between price and probability.
Short, to-the-point chapters present original ideas and approaches for pricing derivative products, supplying professional money managers and institutional investors with the foundation they need to: Integrate both the theoretical and mathematical foundations of pricing derivatives Establish optimal prices in terms of the no-arbitrage principle Derive model-independent pricing formulas for options, futures, forwards, and other key derivatives
Experience has shown that derivative traders must focus on conceptual, as opposed to trading, issues if they are to improve trading accuracy and profitability. Pricing Derivatives presents conceptually sound approaches for pricing derivatives and shows how to use them to compute specific pricing formulas.
Pricing Derivatives unveils a fundamentally clear-cut approach to accurate derivative pricing. Based upon author Ambar Sengupta\u27s years of consulting experience working with derivatives traders to hone their trading performance, it steers around the mechanics of popular financial models to focus on the conceptual foundations and underlying mathematics of pricing derivatives as well as other financial instruments.
Exploring the relationshipbetween price and probability, Pricing Derivatives demonstrates methods for determining model-independent pricing formulas and applying them to specific market models for more distinct and applicable pricing formulas.https://repository.lsu.edu/facultybooks/1593/thumbnail.jp
Pricing derivatives the financial concepts underlying the mathematics of pricing derivatives
No full textIrwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory
Analysis of CDO tranche valuation and the 2008 credit crisis
No full textIncludes bibliographical references.The causes of the 2008 financial crisis were wide ranging. Some financial commentators have suggested there were significant inadequacies in the models used to price complex derivatives such as synthetic Collaterilised Debt Obligations (CDOs). We discuss the technical properties of CDOs and the modeling approaches used by CDO traders and the watchdog credit rating agencies. We look at how the pricing models fared before and during the financial crisis. Comparing our model prices to market synthetic CDO prices, we investigate how well these pricing models captured the underlying financial risks of trading in CDOs
On the Lebesgue integral and the Lebesgue measure: mathematical applications in some sectors of Chern-Simons theory and Yang-Mills gauge theory and mathematical connections with some sectors of String Theory and Number Theory
No full textIn this paper, in the Section 1, we have described some equations and theorems concerning the Lebesgue integral and the Lebesgue measure. In the Section 2, we have described the possible mathematical applications, of Lebesgue integration, in some equations concerning various sectors of Chern-Simons theory and Yang-Mills gauge theory, precisely the two dimensional quantum Yang-Mills theory. In conclusion, in the Section 3, we have described also the possible mathematical connections with some sectors of String Theory and Number Theory, principally with some equations concerning the Ramanujan’s modular equations that are related to the physical vibrations of the bosonic strings and of the superstrings, some Ramanujan’s identities concerning π and the zeta strings
An Attempt to rehabilitate a Case of Rubinstein–Taybi Syndrome: A Rare Disorder
No full textABSTRACT
Rubinstein–Taybi syndrome (RSTS) is a genetically heterogeneous, rare, neurodevelopmental condition with the usual stigmata of facial dysmorphism, broad thumb and hallux, multisystem involvement, and developmental delay, which are themselves clinically diagnostic in the absence of standard criteria. Amidst all these physical features, the sensory, cognitive, behavioral, intellectual, and sometimes autistic features of the condition often escape attention. This case illustrates that the management of all these different aspects remains an integral part of rehabilitation.
How to cite this article
Sengupta M, Equebal A, Biswas A, Ballav A. An Attempt to rehabilitate a Case of Rubinstein– Taybi Syndrome: A Rare Disorder. Indian J Phy Med Rehab 2017;28(2):74-76.
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Representing Finite Groups: A Semisimple Introduction
No full textThis graduate textbook presents the basics of representation theory for finite groups from the point of view of semisimple algebras and modules over them. The presentation interweaves insights from specific examples with development of general and powerful tools based on the notion of semisimplicity. The elegant ideas of commutant duality are introduced, along with an introduction to representations of unitary groups. The text progresses systematically and the presentation is friendly and inviting. Central concepts are revisited and explored from multiple viewpoints. Exercises at the end of the chapter help reinforce the material.
Representing Finite Groups: A Semisimple Introduction would serve as a textbook for graduate and some advanced undergraduate courses in mathematics. Prerequisites include acquaintance with elementary group theory and some familiarity with rings and modules. A final chapter presents a self-contained account of notions and results in algebra that are used. Researchers in mathematics and mathematical physics will also find this book useful.
A separate solutions manual is available for instructors.https://repository.lsu.edu/facultybooks/1505/thumbnail.jp
The Moduli Space of Flat Connections on Oriented Surfaces with Boundary
No full textAbstractA 2-form is constructed on the space of connections on a principal bundle over an oriented surface with boundary. This induces a symplectic structure for the moduli space of flat connections with boundary holonomies lying in prescribed conjugacy classes. The Yang–Mills quantum field measure is described for this situation. This measure converges to the normalized symplectic volume measure in the “classical” limit
A new explicit formula for the solution of the Black-Merton-Scholes equation
No full textThe Black-Merton-Scholes equation plays a fundamental role in the option
pricing theory. Our main purpose is to derive an explicit formula for its solu-
tion, using simple tools from operator semigroups. The paper includes also an
expository treatment of how the equation arises
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