Title: Derivative Securities Pricing And Modelling (Contemporary Studies In Economic And Financial Analysis)
Publisher: Emerald Publishing Limited
Publication Date: 2012
Language: English
ISBN 10: 1780526164
ISBN 13: 9781780526164
Binding: Hardcover
Condition: New

About this title

Synopsis

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 and pricing, model application and performance backtesting, new products and 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.

About the Author

Jonathan Batten - Hong Kong University
Niklas Wagner - Passau University, Germany

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