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 |
| Publication date: | 2nd July 2012 |
| Author: | Jonathan Batten, Niklas F Wagner |
| Publisher: | Emerald Publishing an imprint of Emerald Group Publishing Limited |
| Format: | Hardback |
| Pagination: | 433 pages |
| Series: | Contemporary Studies in Economic and Financial Analysis |
| Genres: |
Financial reporting, financial statements Economic and financial crises and disasters |