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...
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| Other Authors | , |
|---|---|
| Format | eBook |
| Language | English |
| Published |
Bingley, U.K. :
Emerald,
2012.
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| Series | Contemporary studies in economic and financial analysis ;
v. 94. |
| Subjects | |
| Online Access | Full text |
| ISBN | 9781780526171 |
| ISSN | 1569-3759 ; |
| Physical Description | 1 online zdroj (xi, 433 p.) : ill. |
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| Summary: | 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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| Item Description: | Includes index. |
| Bibliography: | Obsahuje bibliografie |
| ISBN: | 9781780526171 |
| ISSN: | 1569-3759 ; |
| Access: | Plný text je dostupný pouze z IP adres počítačů Univerzity Tomáše Bati ve Zlíně nebo vzdáleným přístupem pro zaměstnance a studenty univerzity |
| Physical Description: | 1 online zdroj (xi, 433 p.) : ill. |