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 eBook
LanguageEnglish
Published Bingley, U.K. : Emerald, 2012.
SeriesContemporary studies in economic and financial analysis ; v. 94.
Subjects
Derivative securities > Prices > Mathematical models.
Derivative securities > Prices.
elektronické knihy
electronic books
Online AccessFull text
ISBN9781780526171
ISSN1569-3759 ;
DOI10.1108/S1569-3759(2012)94
Physical Description1 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
ISSN:1569-3759 ;
DOI:10.1108/S1569-3759(2012)94
Physical Description:1 online resource (xi, 433 p.) : ill.

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