Derivative securities pricing and modelling /

Derivative securities pricing and modelling /

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Bibliographic Details
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:
Derivative securities -- Prices -- Mathematical models.
Derivative securities -- Prices -- Mathematical models.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12587470
Hidden Bibliographic Details
Other authors / contributors:Batten, Jonathan.
Wagner, Niklas F., 1969-
ISBN:9781780526171
1780526172
9781780526164
1780526164
1280999012
9781280999017
9786613770622
6613770620
Notes:Includes bibliographical references and index.
English.
Print version record.
Summary: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.
Other form:Print version: Derivative securities pricing and modelling. Bradford : Emerald, ©2012 9781780526164
Table of Contents:
  • 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.

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