The practical pricing of a European option

DINAMIKA RISET WILL HELP YOU TO FINISH YOUR THESIS/DISSERTATION, CONTACT PERSON WAWAN 081294635021    Below are some topics which important for your thesis/dissertation: Continuous martingales and filtrations Identifying continuous martingales Continuous martingale pricing Equivalence to the PDE method Hedging Time-dependent parameters Completeness and uniqueness Changing numeraire Dividend-paying assets Working with the forward The practical pricing of a European option Analytic formulae Trees Numerical integration Monte Carlo PDE methods Continuous barrier options The PDE pricing of continuous barrier options Expectation pricing of continuous barrier options The reflection principle Girsanov's theorem revisited Joint distribution Pricing continuous barriers by expectation American digital options Multi-look exotic options Risk-neutral pricing for path-dependent options Weak path dependence

DINAMIKA RISET WILL HELP YOU TO FINISH YOUR THESIS/DISSERTATION, CONTACT PERSON WAWAN 081294635021   Below are some topics which important for your thesis/dissertation: Path generation and dimensionality reduction Moment matching Trees, PDEs and Asian options Practical issues in pricing multi-look options Greeks of multi-look options Static replication Continuous barrier options Discrete barriers Path-dependent exotic options The up-and-in put with barrier at strike Put-call symmetry Conclusion and Multiple sources of risk Higher-dimensional Brownian motions The higher-dimensional Ito calculus The higher-dimensional Girsanov theorem Practical pricing The Margrabe option Quanto options Higher-dimensional trees Options with early exercise features The tree approach The PDE approach to American options American options by replication American options by Monte Carlo Upper bounds by Monte Carlo

DINAMIKA RISET WILL HELP YOU TO FINISH YOUR THESIS/DISSERTATION, CONTACT PERSON WAWAN 081294635021    Below are some topics which important for your thesis/dissertation: Interest rate derivatives The simplest instruments Caplets and swaptions Curves and more curves The pricing of exotic interest rate derivatives Decomposing an instrument into forward rates Computing the drift of a forward rate The instantaneous volatility curves The instantaneous correlations between forward rates Doing the simulation Rapid pricing of swaptions in a BGM model Automatic calibration to co-terminal swaptions Lower bounds for Bermudan swaptions Upper bounds for Bermudan swaptions Factor reduction and Bermudan swaptions Interest-rate smiles Incomplete markets and jump-diffusion processes Modeling jumps with a tree Modelling jumps in a continuous framework Market incompleteness Super- and sub-replication Choosing the measure and hedging exotic options Matching the market Pricing exotic options using jump-diffusion models Does the model matter? Log-type models

DINAMIKA RISET WILL HELP YOU TO FINISH YOUR THESIS/DISSERTATION, CONTACT PERSON WAWAN 081294635021    Below are some topics which important for your thesis/dissertation: Stochastic volatility Risk-neutral pricing with stochastic-volatility models Monte Carlo and stochastic volatility Hedging issues PDE pricing and transform methods Stochastic volatility smiles Pricing exotic options Variance Gamma models The Variance Gamma process Pricing options with Variance Gamma models Pricing exotic options with Variance Gamma models Deriving the properties Smile dynamics and the pricing of exotic options Smile dynamics in the market Dynamics implied by models Matching the smile to the model Hedging Matching the model to the product Financial and mathematical jargon Computer projects Two important functions Project Vanilla options in a Black-Scholes world Project Vanilla Greeks Project Hedging Project Recombining trees Project Exotic options by Monte Carlo Project Using low-discrepancy numbers Project Replication models for continuous barrier options Project Multi-asset options

DINAMIKA RISET WILL HELP YOU TO FINISH YOUR THESIS/DISSERTATION, CONTACT PERSON WAWAN 081294635021   Below are some topics which important for your thesis/dissertation: Project Simple interest-rate derivative pricing Project LIBOR-in-arrears Project B GM Project Jump-diffusion models Project Stochastic volatility Project Variance Gamma Elements of probability theory Definitions Expectations and moments Joint density and distribution functions Covariances and correlations Order notation METODOLOGI PENELITIAN KEUANGAN: Prosedur, Ide dan Kontrol BAGIAN 1 METODOLOGI PENELITIAN PROSEDUR Latar Belakang Identifikasi & Batasan Masalah Hipotesis Deduktif dan Induktif Tinjauan Pustaka Memulai Riset Kebijaksanaan Dividen dan dummy Dividen atau Earning? Pengaruh Pajak terhadap Leverage Pembagian Dividen Month Effect atau Day Effect? Studi Kejadian Data Ditinjau dari Skala Ditinjau dari Waktu dan Sektor Data Beberapa Kendala & Mensiasatinya Pengambilan Sampel Probability Sampling Probability sampling Non Probability Sampling Pengelompokan data (Grouping) Validitas dan Reliabilitas Pengujian Pengujian Hipotesis Z-Score Tipe Tes Uji Parametrik Regress Distribusi Normal Konsranta IT dan R(R & R disesuaikan/ The Adjusted R) Dampak Langsung dan Dampak Tidak Langsung Issue & Pengukuran Perubahan Per unit ataukah Perubahan Persentase? Pengaruh Jangka Pendek Serta Pengaruh Jangka Panjang? Pengabaian asumsi-asumsi pada Model klasik Multikolinear Heteroskedan seterusnyais Otokorelasi Model Spesifikasi Error Dalam Pengukuran Model Variahel dependen, independen, Intervening dan Moderating, Endogen & Eksogen Tampilan Tabel Dummy untuk Earning Negatif Earning negatif memasukkan nilai buku Tipe Kepemilikan dan Pasar Efisien Difersifikasi dan Nilai Berbagai Ide kepemilikan dalam (Insider Ownership) dan Difersifikasi Perusahaan Kepemilikan Keluarga dan E(r) Tipe Kepemilikan dan Pembayaran Dividen Leverage (capital structure) dengan Leverage dan laba Pajak dan Hutang Hutang dan Peluang bangkrut Hutang dan Nilai Perusahaan Struktur modal dan laba Arus Kas dan Leverage Arus Kas dan Dividen Arus Kas dan Investas Volume Perdagangan dengan Tipe kepemilikan Volume Perdagangan dan Kepemilikan lnstitusiVolume Perdagangan dan Pengumuman Dividen Pembentukan Portopolio Informasi Yang Asimetris BAGIAN III M.ETODOLOGI PENELITAN: KONTROL Data/Variabel Kontrol Perusahaan Pembanding (Comparison Firms) Perusahaan Utilitas Umum (Public Utility Firms) Perusahaan Keuangan Size Time Xt-N.fetode Penelitian Kota nganProsedur, Ide dan Kontrol Ada Jensen Measure (ap) Informational Ratio (Appraisal Ratio) Ukuran Profitabilitas Dummy (D) Dummy Pada variabel dependen Dummy Pada Variabel Independen Laporan keuangan Accrual Neraca (Balance Sheet) Laporan Laba-Rugi (The Income Statement) Laporan Arus Kas (The Statement of Cash Flows) Laporan Perubahan Modal (The Statement of Stockholders' Equity) Biaya ataukah modal? Kas, Arus Kas, serta Arus Kas Bebas (Cash (C), CashFlow (CF). Free Cash Flow (FCF)] LATAR BELAKANG Pada umumnya latar belakang yang ditulis merupakan gambaran (first glance)dari suatu topik penelitian. Gambaran ini berupa fakta (realitas) sebagai upaya untuk menguatkan argument. Uraian diambil dari sumber-sumber berita (majalah, surat kabar, penerbitan data, dan lain-lain) . Pada akhir kalimat (paragraf), diberikan simpulan mengapa pene-litian ini dilakukan. Namun demikian latar belakang pada makalah di jurnal ilrniah pada umumnya memuat 'survey literatur' dari penelitian sejenis. Hal ini untuk menunjukkan dimana posisi 'riset' yang sedang ditulis ini dibandingkan riset-riset sejenisDengan cara demikian maka akan diketahui kontribusi (hal yang dianggap baru) dari riset. Hal baru tersebut dapat berupa(i) ide; (ii) kemampuan menjelaskan fenomena; (iii) metodologi berupa pengukuran, proksi, dan sebagainya. Pertanyaan yang dapat kita ajukan adalah, mengapa dalam latar belakang pada makalah di jurnal ilrniah, jarang memuat gambaran realitas? Hal ini sebenamya mudah dipahami, karena makalah-makalah tersebut dibaca di seturuh dunia, sehingga keadaan sebenarnya (facts) mungkin orang tidak mengetahuinya atau tidak berminat .