Derivative securities pricing and modelling [electronic resource] / edited by Jonathan A. Batten and Niklas Wagner.

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Material type: Text

TextSeries: 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.Publication details: Bingley, U.K. : Emerald, 2012.Description: 1 online resource (xi, 433 p.) : illISBN:

9781780526171 (electronic bk.) :

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Additional physical formats: No titleDDC classification:

332.6457 BAT 22

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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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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Calcutta	332.6457 BAT (Browse shelf(Opens below))	Available		IIMC-E001340

Total holds: 0

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.

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