Derivative securities pricing and modelling
Derivative securities pricing and modelling [electronic resource] /
edited by Jonathan A. Batten and Niklas Wagner.
- Bingley, U.K. : Emerald, 2012.
- 1 online resource (xi, 433 p.) : ill.
- Contemporary studies in economic and financial analysis, v. 94 1569-3759 ; .
- Emerald eBook Series - Business, Managment & Economics with title Volumes From 2011 to 2015 (405) (Recent Backlist) Contemporary studies in economic and financial analysis ; v. 94. .
Includes index.
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.
9781780526171 (electronic bk.) : 82.95 ; 121.95 ; 154.95
Business & Economics--Finance.
Financial reporting, financial statements.
Financial crises & disasters.
Derivative securities--Prices--Mathematical models.
Derivative securities--Prices.
332.6457 / BAT
Includes index.
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.
9781780526171 (electronic bk.) : 82.95 ; 121.95 ; 154.95
Business & Economics--Finance.
Financial reporting, financial statements.
Financial crises & disasters.
Derivative securities--Prices--Mathematical models.
Derivative securities--Prices.
332.6457 / BAT