Derivative securities pricing and modelling / edited by Jonathan A. Batten, Niklas Wagner.

Format:

Book

Contributor:

Batten, Jonathan.

Wagner, Niklas F., 1969-

Series:

Contemporary studies in economic and financial analysis ; v. 94.

Contemporary studies in economic and financial analysis, 1569-3759 ; v. 94

Language:

English

Subjects (All):

Derivative securities--Prices--Mathematical models.

Derivative securities.

Derivative securities--Prices.

Physical Description:

1 online resource (446 p.)

Edition:

1st ed.

Place of Publication:

Bingley [England] : Emerald Insight, 2012.

Language Note:

English

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.

Contents:

Derivatives securities pricing and modelling / Jonathan A. Batten, Niklas Wagner

On the role of option applications in economic instability / Kavous Ardalan

Derivatives, commodities, and social costs : exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan

Contingent capital securities : problems and solutions / Michalis Ioannides, Frank S. Skinner

High dimensionality in finance : a graph-theory analysis / Delphine Lautier, Franck Raynaud

Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein

The pricing kernel puzzle : reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth

Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck

Non-gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente

On the empirical behavior of stochastic volatility models : do skewness and kurtosis matter? / Marco M. García-Alonso, Manuel Moreno, Javier F. Navas

Re-evaluating hedging performance for asymmetry : the case of crude oil / John Cotter, Jim Hanly

On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev

A new paradigm for inflation derivatives modeling / Lixin Wu

An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner

An equity-based credit risk model / Gaia Barone

Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence / Victor Fang, A.S.M. Sohel Azad, Jonathan A. Batten, Chien-Ting Lin

The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir.

Notes:

Includes index.

Includes bibliographical references and index.

Print version record

ISBN:

9786613770622

9781280999017

1280999012

9781780526171

1780526172

OCLC:

805506560