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Derivative securities pricing and modelling /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Bradford :
Emerald,
2012.
|
| Edición: | 1st ed. |
| Colección: | Contemporary studies in economic and financial analysis ;
v. 94. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Derivatives securities pricing and modelling / Jonathan A. Batten, Niklas Wagner
- On the role of option applications in economic instability / Kavous Ardalan
- Derivatives, commodities, and social costs : exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan
- Contingent capital securities : problems and solutions / Michalis Ioannides, Frank S. Skinner
- High dimensionality in finance : a graph-theory analysis / Delphine Lautier, Franck Raynaud
- Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein
- The pricing kernel puzzle : reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth
- Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck
- Non-gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente
- On the empirical behavior of stochastic volatility models : do skewness and kurtosis matter? / Marco M. García-Alonso, Manuel Moreno, Javier F. Navas
- Re-evaluating hedging performance for asymmetry : the case of crude oil / John Cotter, Jim Hanly
- On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev
- A new paradigm for inflation derivatives modeling / Lixin Wu
- An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner
- An equity-based credit risk model / Gaia Barone
- 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, Chien-Ting Lin
- The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir.