Derivative securities pricing and modelling:
Gespeichert in:
| Weitere beteiligte Personen: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Bingley [u.a.]
Emerald
2012
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | Contemporary studies in economic and financial analysis
94 |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025198495&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XI, 433 S. graph. Darst. |
| ISBN: | 9781780526164 |
Internformat
MARC
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| 020 | |a 9781780526164 |9 978-1-78052-616-4 | ||
| 035 | |a (OCoLC)812205325 | ||
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| 245 | 1 | 0 | |a Derivative securities pricing and modelling |c ed. by Jonathan A. Batten ... |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Bingley [u.a.] |b Emerald |c 2012 | |
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| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Contemporary studies in economic and financial analysis |v 94 | |
| 700 | 1 | |a Batten, Jonathan A. |0 (DE-588)17091559X |4 edt | |
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| 830 | 0 | |a Contemporary studies in economic and financial analysis |v 94 |w (DE-604)BV000001516 |9 94 | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-025198495 | |
Datensatz im Suchindex
| _version_ | 1819287360375881728 |
|---|---|
| adam_text | CONTENTS
LIST OF CONTRIBUTORS
ix
PART I: ADVANCES IN DERIVATIVES AND ECONOMIC
STABILITY
DERIVATIVES SECURITIES PRICING AND
MODELLING
Jonathan A.
Ballen
and
Niklas
Wagner
3
ON THE ROLE OF OPTION APPLICATIONS IN
ECONOMIC INSTABILITY
Kavous
Ar
dal
an
15
DERIVATIVES, COMMODITIES, AND SOCIAL COSTS:
EXPLORING CORRELATION IN ECONOMIC
UNCERTAINTY
Aleksandr
V. Gevorkyan and Arkady Gevorkyan
47
CONTINGENT CAPITAL SECURITIES: PROBLEMS
AND SOLUTIONS
Miehalis loannides and Frank S. Skinner
71
HIGH DIMENSIONALITY IN FINANCE: A
GRAPH-THEORY ANALYSIS
Delphine Lautier
and
Franek
Raynaud
93
vi
CONTENTS
PART II: DERIVATIVES PRICES AND RISK-NEUTRAL
DISTRIBUTIONS
RECOVERING STOCHASTIC PROCESSES FROM
OPTION PRICES
Jens Carsten Jackwerth
and Mark Rubinstein
123
ΊΊΙΕ
PRICING KERNEL PUZZLE: RECONCILING
INDEX OPTION DATA AND ECONOMIC THEORY
David P. Brown and
Jens Carsten
Jackwerth
J
55
RISK-NEUTRAL DENSITIES AND CATASTROPHE
EVENTS
Michael Herald and Matthias Muck
185
PART III: DERIVATIVES MODELS AND MODEL
PERFORMANCE
NON-GAUSSIAN PRICE DYNAMICS AND
IMPLICATIONS FOR OPTION PRICING
Miguel Ángel Fuentes,
Austin
Ger ig
and Javier Vicente
211
ON THE EMPIRICAL BEHAVIOR OF STOCHASTIC
VOLATILITY MODELS: DO SKEWNESS AND
KURTOSIS MATTER?
Marco M.
García-Alonso,
Manuel Moreno and
227
Javier
ľ.
Navas
RE-EVALUATING HEDGING PERFORMANCE FOR
ASYMMETRY: THE CASE OF CRUDE OIL
John Cotter and Jim Ilanly
259
ON THE BINOMIAL-TREE APPROACH TO
CONVERTIBLE BONDS PRICING AND RISK
ASSESSMENT
Krasimir
Milanov
and Ognyan Kounchev
2HÌ
Contents
vii
PART IV: DERIVATIVES MODELS, RISK MANAGEMENT,
CREDIT AND CORPORATE CONTROL
A NEW PARADIGM FOR INFLATION DERIVATIVES
MODELING
Lixin Wu
305
AN OPTION-PRICING FRAMEWORK FOR THE
VALUATION OF FUND MANAGEMENT
COMPENSATION
Axel
Buchner,
Abdul
к
adi
r Mohamed
and
Niklas IVagner
331
AN EQUITY-BASED CREDIT RISK MODEL
Gaia Barone
351
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
379
and Chien-Ting Lin
THE EVOLUTION OF THE USE OF DERIVATIVES IN
SLOVENIAN NON-FINANCIAL COMPANIES
Ales Berk
Skok,
Igor Lonearski and Matev~ Skocir
399
INDEX
429
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| id | DE-604.BV040344305 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T16:13:00Z |
| institution | BVB |
| isbn | 9781780526164 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025198495 |
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| physical | XI, 433 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Emerald |
| record_format | marc |
| series | Contemporary studies in economic and financial analysis |
| series2 | Contemporary studies in economic and financial analysis |
| spellingShingle | Derivative securities pricing and modelling Contemporary studies in economic and financial analysis |
| title | Derivative securities pricing and modelling |
| title_auth | Derivative securities pricing and modelling |
| title_exact_search | Derivative securities pricing and modelling |
| title_full | Derivative securities pricing and modelling ed. by Jonathan A. Batten ... |
| title_fullStr | Derivative securities pricing and modelling ed. by Jonathan A. Batten ... |
| title_full_unstemmed | Derivative securities pricing and modelling ed. by Jonathan A. Batten ... |
| title_short | Derivative securities pricing and modelling |
| title_sort | derivative securities pricing and modelling |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025198495&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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