Derivatives Pricing and Modeling by Jonathan Batten (English) Hardcover Book

Description: Derivatives Pricing and Modeling by Jonathan Batten, Niklas F. Wagner, Robert Thornton, J. Richard Aronson Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher 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. 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 page. Details ISBN1780526164 Author J. Richard Aronson Year 2012 ISBN-10 1780526164 ISBN-13 9781780526164 Media Book Format Hardcover Pages 450 Place of Publication Bingley Country of Publication United Kingdom Edited by Niklas F. Wagner DEWEY 332.6457 Publication Date 2012-07-02 Illustrations Illustrations Short Title DERIVATIVE SECURITIES PRICING Language English Series Number 94 Publisher Emerald Publishing Limited Series Contemporary Studies in Economic and Financial Analysis AU Release Date 2012-07-02 NZ Release Date 2012-07-02 UK Release Date 2012-07-02 Alternative 9781780526171 Audience Professional & Vocational Imprint Emerald Group Publishing Limited We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:161769125;

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