Derivative securities pricing and modelling /
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| Edition: | 1st ed. |
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| Imprint: | Bradford : Emerald, 2012. |
| Description: | 1 online resource (446 pages). |
| Language: | English |
| Series: | Contemporary studies in economic and financial analysis ; v. 94 Contemporary studies in economic and financial analysis ; v. 94. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12587470 |
| Summary: | 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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| Physical Description: | 1 online resource (446 pages). |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781780526171 1780526172 9781780526164 1780526164 1280999012 9781280999017 9786613770622 6613770620 |