Derivative Securities Pricing and Modelling

Derivative Securities Pricing and Modelling

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


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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.

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  • Hardback | 450 pages
  • 154 x 234 x 40mm | 780.17g
  • 12 Jul 2012
  • Emerald Group Publishing Limited
  • Bingley
  • English
  • New.
  • 1780526164
  • 9781780526164
  • 1,516,836

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