Derivative securities pricing and modelling:
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 & ma...
Gespeichert in:
| Weitere beteiligte Personen: | , |
|---|---|
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Bingley, U.K.
Emerald
2012
|
| Schriftenreihe: | Contemporary studies in economic and financial analysis
v. 94 |
| Links: | https://doi.org/10.1108/S1569-3759(2012)94 |
| Zusammenfassung: | 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. |
| Beschreibung: | Includes index. |
| Umfang: | 1 Online-Ressource (xi, 433 Seiten) Illustrationen |
| ISBN: | 9781780526171 (electronic bk.) : |
| ISSN: | 1569-3759 |
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| illustrated | Illustrated |
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| isbn | 9781780526171 (electronic bk.) : |
| issn | 1569-3759 |
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| spelling | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner Bingley, U.K. Emerald 2012 1 Online-Ressource (xi, 433 Seiten) Illustrationen txt c cr Contemporary studies in economic and financial analysis 1569-3759 v. 94 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. Batten, Jonathan Wagner, Niklas F. 1969- Erscheint auch als Druck-Ausgabe 9781780526164 |
| spellingShingle | Derivative securities pricing and modelling |
| 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 edited by Jonathan A. Batten, Niklas Wagner |
| title_fullStr | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner |
| title_full_unstemmed | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner |
| title_short | Derivative securities pricing and modelling |
| title_sort | derivative securities pricing and modelling |
| work_keys_str_mv | AT battenjonathan derivativesecuritiespricingandmodelling AT wagnerniklasf derivativesecuritiespricingandmodelling |