TY  - BOOK
AU  - Batten,Jonathan
AU  - Wagner,Niklas F.
TI  - Derivative securities pricing and modelling
T2  - Contemporary studies in economic and financial analysis,
SN  - 9781780526171 (electronic bk.) :
U1  - 332.6457 22
PY  - 2012///
CY  - Bingley, U.K.
PB  - Emerald
KW  - Business & Economics
KW  - Finance
KW  - Financial reporting, financial statements
KW  - Financial crises & disasters
KW  - Derivative securities
KW  - Prices
KW  - Mathematical models
N1  - Includes index
N2  - 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
UR  - http://www.emeraldinsight.com/1569-3759/94
ER  -