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
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245 0 0 |a Derivative securities pricing and modelling  |h [electronic resource] /  |c edited by Jonathan A. Batten, Niklas Wagner. 
260 |a Bingley, U.K. :  |b Emerald,  |c 2012. 
300 |a 1 online resource (xi, 433 p.) :  |b ill. 
490 1 |a Contemporary studies in economic and financial analysis,  |x 1569-3759 ;  |v v. 94 
500 |a Includes index. 
505 0 |a Derivatives securities pricing and modelling / Jonathan A. Batten, Niklas Wagner -- On the role of option applications in economic instability / Kavous Ardalan -- Derivatives, commodities, and social costs : exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan -- Contingent capital securities : problems and solutions / Michalis Ioannides, Frank S. Skinner -- High dimensionality in finance : a graph-theory analysis / Delphine Lautier, Franck Raynaud -- Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein -- The pricing kernel puzzle : reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth -- Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck -- Non-gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente -- On the empirical behavior of stochastic volatility models : do skewness and kurtosis matter? / Marco M. García-Alonso, Manuel Moreno, Javier F. Navas -- Re-evaluating hedging performance for asymmetry : the case of crude oil / John Cotter, Jim Hanly -- On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev -- A new paradigm for inflation derivatives modeling / Lixin Wu -- An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner -- An equity-based credit risk model / Gaia Barone -- Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence / Victor Fang, A.S.M. Sohel Azad, Jonathan A. Batten, Chien-Ting Lin -- The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir. 
520 |a 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. 
650 7 |a Business & Economics  |x Finance.  |2 bisacsh 
650 7 |a Financial reporting, financial statements.  |2 bicssc 
650 7 |a Financial crises & disasters.  |2 bicssc 
650 0 |a Derivative securities  |x Prices  |x Mathematical models. 
650 0 |a Derivative securities  |x Prices. 
700 1 |a Batten, Jonathan. 
700 1 |a Wagner, Niklas F.,  |d 1969- 
776 1 |z 9781780526164 
830 0 |a Contemporary studies in economic and financial analysis ;  |v v. 94. 
856 4 0 |u http://www.emeraldinsight.com/1569-3759/94  |z Full Text via HEAL-Link