Derivatives Pricing and Modeling

Derivatives Pricing and Modeling

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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 more

Product details

  • Hardback | 450 pages
  • 154 x 234 x 40mm | 780.17g
  • Emerald Publishing Limited
  • Bingley, United Kingdom
  • English
  • New.
  • 1780526164
  • 9781780526164
  • 1,846,896

Table of contents

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 more