Derivatives Pricing and Modeling
1st Edition
Published on 2. July 2012
450 pages
978-1-78052-617-1 (ISBN)
Description
This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, new products and market features. Particular themes encompass: - continuous and discrete time modeling, - statistical arbitrage models, - arbitrage-free pricing, risk-neutral implied densities, - equilibrium pricing approaches (including e.g. co-integration), - applications of methods in computational statistics including simulation, - computationally intense techniques for pricing, estimation and backtesting, - complex derivative products, - credit and counterparty risk, - innovative market and product structures.
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More details
Series
Language
English
Place of publication
Bingley
United Kingdom
Target group
Professional and scholarly
File size
14,21 MB
ISBN-13
978-1-78052-617-1 (9781780526171)
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
Other editions
Additional editions
Jonathan Batten | Niklas F. Wagner
Derivatives Pricing and Modeling
Book
07/2012
Emerald Group Publishing Limited
€246.40
Shipment within 10-20 days
Persons
Content
List of Contributors.
Derivatives Securities Pricing and Modelling.
On the Role of Option Applications in Economic Instability.
Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainty.
Contingent Capital Securities: Problems and Solutions.
High Dimensionality in Finance: A Graph-Theory Analysis.
Recovering Stochastic Processes from Option Prices.
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory.
Risk-Neutral Densities and Catastrophe Events.
Non-Gaussian Price Dynamics and Implications for Option Pricing.
On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?.
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil.
On the Binomial-Tree Approach to Convertible Bonds Pricing and Risk Assessment.
A New Paradigm for Inflation Derivatives Modeling.
An Option-Pricing Framework for the Valuation of Fund Management Compensation.
An Equity-Based Credit Risk Model.
Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidence.
The Evolution of the Use of Derivatives in Slovenian Non-Financial Companies.
Subject Index.
Derivative Securities Pricing and Modelling.
Contemporary Studies in Economic and Financial Analysis.
Contemporary Studies in Economic and Financial Analysis.
Copyright page.
Derivatives Securities Pricing and Modelling.
On the Role of Option Applications in Economic Instability.
Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainty.
Contingent Capital Securities: Problems and Solutions.
High Dimensionality in Finance: A Graph-Theory Analysis.
Recovering Stochastic Processes from Option Prices.
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory.
Risk-Neutral Densities and Catastrophe Events.
Non-Gaussian Price Dynamics and Implications for Option Pricing.
On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?.
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil.
On the Binomial-Tree Approach to Convertible Bonds Pricing and Risk Assessment.
A New Paradigm for Inflation Derivatives Modeling.
An Option-Pricing Framework for the Valuation of Fund Management Compensation.
An Equity-Based Credit Risk Model.
Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidence.
The Evolution of the Use of Derivatives in Slovenian Non-Financial Companies.
Subject Index.
Derivative Securities Pricing and Modelling.
Contemporary Studies in Economic and Financial Analysis.
Contemporary Studies in Economic and Financial Analysis.
Copyright page.
