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.
|
| 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. |
Cover
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| 080 | |a 330.3 | ||
| 245 | 0 | 0 | |a Derivative securities pricing and modelling |h [elektronický zdroj] / |c edited by Jonathan A. Batten, Niklas Wagner. |
| 260 | |a Bingley, U.K. : |b Emerald, |c 2012. | ||
| 300 | |a 1 online zdroj (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. Garcâia-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. | ||
| 504 | |a Obsahuje bibliografie | ||
| 506 | |a Plný text je dostupný pouze z IP adres počítačů Univerzity Tomáše Bati ve Zlíně nebo vzdáleným přístupem pro zaměstnance a studenty univerzity | ||
| 650 | 4 | |a Derivative securities |x Prices |x Mathematical models. | |
| 650 | 4 | |a Derivative securities |x Prices. | |
| 655 | 7 | |a elektronické knihy |7 fd186907 |2 czenas | |
| 655 | 9 | |a electronic books |2 eczenas | |
| 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 https://proxy.k.utb.cz/login?url=http://www.emeraldinsight.com/1569-3759/94 |
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