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Derivatives Pricing and Modeling - Contemporary Studies in Economic and Financial Analysis 94 (Hardback)
  • Derivatives Pricing and Modeling - Contemporary Studies in Economic and Financial Analysis 94 (Hardback)
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Derivatives Pricing and Modeling - Contemporary Studies in Economic and Financial Analysis 94 (Hardback)

(editor), (editor), (series editor), (series editor)
£97.99
Hardback 450 Pages / Published: 02/07/2012
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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.

Publisher: Emerald Publishing Limited
ISBN: 9781780526164
Number of pages: 450
Weight: 771 g
Dimensions: 234 x 156 x 38 mm

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