| Title:
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DERIVATIVES PRICING AND MODELING
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| By: |
Jonathan Batten (Editor), Niklas F. Wagner (Editor), Robert Thornton |
| Format: |
Electronic book text |
| List price:
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£92.99 |
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| ISBN 10: |
1780526172 |
| ISBN 13: |
9781780526171 |
| Publisher: |
EMERALD PUBLISHING LIMITED |
| Pub. date: |
2 July, 2012 |
| Edition: |
New ed. |
| Series: |
Contemporary Studies in Economic and Financial Analysis 94 |
| Pages: |
450 |
| Description: |
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features. |
| 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. |
| Publication: |
UK |
| Imprint: |
Emerald Publishing Limited |
| Returns: |
Non-returnable |