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120724s2012 enka o 001 0 eng d |
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|a 9781780526171 (electronic bk.) :
|c 82.95 ; 121.95 ; 154.95
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|a HG6024.A3
|b D47 2012
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|a 332.6457
|2 23
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|a Derivative securities pricing and modelling
|h [electronic resource] /
|c edited by Jonathan A. Batten, Niklas Wagner.
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260 |
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|a Bingley, U.K. :
|b Emerald,
|c 2012.
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300 |
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|a 1 online resource (xi, 433 p.) :
|b ill.
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490 |
1 |
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|a Contemporary studies in economic and financial analysis,
|x 1569-3759 ;
|v v. 94
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500 |
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|a Includes index.
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505 |
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|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.
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520 |
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|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.
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650 |
|
7 |
|a Business & Economics
|x Finance.
|2 bisacsh
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650 |
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7 |
|a Financial reporting, financial statements.
|2 bicssc
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650 |
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7 |
|a Financial crises & disasters.
|2 bicssc
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650 |
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|a Derivative securities
|x Prices
|x Mathematical models.
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650 |
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|a Derivative securities
|x Prices.
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700 |
1 |
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|a Batten, Jonathan.
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700 |
1 |
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|a Wagner, Niklas F.,
|d 1969-
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776 |
1 |
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|z 9781780526164
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830 |
|
0 |
|a Contemporary studies in economic and financial analysis ;
|v v. 94.
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856 |
4 |
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|u http://www.emeraldinsight.com/1569-3759/94
|z Full Text via HEAL-Link
|