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.

Derivatives Pricing and Modeling

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£127.71

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Hardback by Jonathan Batten , Niklas F. Wagner

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Short Description:

This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of... Read more

    Publisher: Emerald Publishing Limited
    Publication Date: 02/07/2012
    ISBN13: 9781780526164, 978-1780526164
    ISBN10: 1780526164

    Number of Pages: 450

    Non Fiction , Business, Finance & Law

    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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