Derivative Securities Pricing and Modelling

Derivative Securities Pricing and Modelling

Hardback Contemporary Studies in Economic and Financial Analysis

Edited by Jonathan Batten, Edited by Niklas Wagner, Series edited by Robert Thornton, Series edited by J. Richard Aronson


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  • Publisher: Emerald Group Publishing Limited
  • Format: Hardback | 450 pages
  • Dimensions: 154mm x 234mm x 40mm | 780g
  • Publication date: 12 July 2012
  • Publication City/Country: Bingley
  • ISBN 10: 1780526164
  • ISBN 13: 9781780526164
  • Edition statement: New.
  • Sales rank: 1,506,220

Product description

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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