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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Bibliographic Details
Other Authors: Batten, Jonathan., Wagner, Niklas F., 1969-
Format: Electronic
Language: English
Published: Bingley, U.K. : Emerald, 2012.
Series: Contemporary studies in economic and financial analysis ; v. 94.
Subjects:
Business & Economics > Finance.
Financial reporting, financial statements.
Financial crises & disasters.
Derivative securities > Prices > Mathematical models.
Derivative securities > Prices.
elektronické knihy
electronic books
ISBN: 9781780526171 (electronic bk.) :
Physical Description: 1 online resource (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.
Item Description: Includes index.
ISBN: 9781780526171 (electronic bk.) :
ISSN: 1569-3759 ;

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