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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.
Price: $222.99
Pages: 450
Publisher: Emerald Group Publishing Limited
Imprint: Emerald Group Publishing Limited
Series: Contemporary Studies in Economic and Financial Analysis
Publication Date:
02 July 2012
ISBN: 9781780526164
Format: Hardcover
BISACs:
BUSINESS & ECONOMICS / Finance / General, Financial reporting, financial statements, Economic & financial crises & disasters
List of Contributors.
Derivatives Securities Pricing and Modelling.
On the Role of Option Applications in Economic Instability.
Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainty.
Contingent Capital Securities: Problems and Solutions.
High Dimensionality in Finance: A Graph-Theory Analysis.
Recovering Stochastic Processes from Option Prices.
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory.
Risk-Neutral Densities and Catastrophe Events.
Non-Gaussian Price Dynamics and Implications for Option Pricing.
On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matter?.
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil.
On the Binomial-Tree Approach to Convertible Bonds Pricing and Risk Assessment.
A New Paradigm for Inflation Derivatives Modeling.
An Option-Pricing Framework for the Valuation of Fund Management Compensation.
An Equity-Based Credit Risk Model.
Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidence.
The Evolution of the Use of Derivatives in Slovenian Non-Financial Companies.
Subject Index.
Derivative Securities Pricing and Modelling.
Contemporary Studies in Economic and Financial Analysis.
Contemporary Studies in Economic and Financial Analysis.
Copyright page.