Derivatives Pricing and Modeling
Robert Thornton editor J Richard Aronson editor Jonathan Batten editor Niklas F Wagner editor
Format:Hardback
Publisher:Emerald Publishing Limited
Published:2nd Jul '12
Should be back in stock very soon
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.
ISBN: 9781780526164
Dimensions: 234mm x 156mm x 38mm
Weight: 771g
450 pages