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...
| Άλλοι συγγραφείς: | , |
|---|---|
| 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 |
Πίνακας περιεχομένων:
- 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.
