Derivative securities pricing and modelling

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 & pricing, model application & performance backtesting, new products & ma...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Άλλοι συγγραφείς: Batten, Jonathan, Wagner, Niklas F., 1969-
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Bingley, U.K. : Emerald, 2012.
Σειρά:Contemporary studies in economic and financial analysis ; v. 94.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Περιγραφή
Περίληψη: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 & pricing, model application & performance backtesting, new products & 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.
Περιγραφή τεκμηρίου:Includes index.
Φυσική περιγραφή:1 online resource (xi, 433 p.) : ill.
ISBN:9781780526171 (electronic bk.) :
ISSN:1569-3759 ;