Derivative securities pricing and modelling /
Saved in:
| Edition: | 1st ed. |
|---|---|
| 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 |
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| 245 | 0 | 0 | |a Derivative securities pricing and modelling / |c edited by Jonathan A. Batten, Niklas Wagner. |
| 250 | |a 1st ed. | ||
| 260 | |a Bradford : |b Emerald, |c 2012. | ||
| 300 | |a 1 online resource (446 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Contemporary studies in economic and financial analysis ; |v v. 94 | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Derivatives securities pricing and modelling / Jonathan A. Batten, Niklas Wagner -- On the role of option applications in economic instability / Kavous Ardalan -- Derivatives, commodities, and social costs : exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan -- Contingent capital securities : problems and solutions / Michalis Ioannides, Frank S. Skinner -- High dimensionality in finance : a graph-theory analysis / Delphine Lautier, Franck Raynaud -- Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein -- The pricing kernel puzzle : reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth -- Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck -- Non-gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente -- On the empirical behavior of stochastic volatility models : do skewness and kurtosis matter? / Marco M. García-Alonso, Manuel Moreno, Javier F. Navas -- Re-evaluating hedging performance for asymmetry : the case of crude oil / John Cotter, Jim Hanly -- On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev -- A new paradigm for inflation derivatives modeling / Lixin Wu -- An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner -- An equity-based credit risk model / Gaia Barone -- Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence / Victor Fang, A.S.M. Sohel Azad, Jonathan A. Batten, Chien-Ting Lin -- The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir. | |
| 546 | |a English. | ||
| 650 | 0 | |a Derivative securities |x Prices |x Mathematical models. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |x Prices |x Mathematical models. |2 fast |0 (OCoLC)fst00891028 | |
| 650 | 7 | |a Financial crises & disasters. |2 bicssc | |
| 650 | 7 | |a Financial reporting, financial statements. |2 bicssc | |
| 655 | 4 | |a Electronic books. | |
| 655 | 0 | |a Electronic books. | |
| 700 | 1 | |a Batten, Jonathan. |0 http://id.loc.gov/authorities/names/nb2001028942 | |
| 700 | 1 | |a Wagner, Niklas F., |d 1969- |0 http://id.loc.gov/authorities/names/no2001036166 | |
| 776 | 0 | 8 | |i Print version: |t Derivative securities pricing and modelling. |d Bradford : Emerald, ©2012 |z 9781780526164 |
| 830 | 0 | |a Contemporary studies in economic and financial analysis ; |v v. 94. |0 http://id.loc.gov/authorities/names/n42008196 | |
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| 928 | |t Library of Congress classification |a HG6024.A3 D47 2012eb |l Online |c UC-FullText |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=e000xna&AN=466851 |z eBooks on EBSCOhost |g ebooks |i 12578964 | ||