Items related to Derivatives Pricing and Modeling: 94 (Contemporary...

Derivatives Pricing and Modeling: 94 (Contemporary Studies in Economic and Financial Analysis, 94) - Hardcover

Book 1 of 14: Contemporary Studies in Economic and Financial Analysis
 
9781780526164: Derivatives Pricing and Modeling: 94 (Contemporary Studies in Economic and Financial Analysis, 94)
Hardcover
ISBN 10: 1780526164 ISBN 13: 9781780526164
Publisher: Emerald Group Publishing Limited, 2012

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.

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Publisher
Emerald Group Publishing Limited
Publication date
2012
Language
English
ISBN 10 
1780526164
ISBN 13 
9781780526164
Binding
Hardcover
Number of pages
450
Editor
Batten Jonathan, Wagner Niklas F.