Derivatives Pricing and Modeling
by J. Richard Aronson (Series edited by)Jonathan Batten (Editor)Niklas F. Wagner (Editor)Robert Thornton (Series edited by)
Format: Hardcover
ISBN13: 9781780526164
Hardcover|9781780526164
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Overview
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-13 | 9781780526164 |
|---|---|
| ISBN-10 | 1780526164 |
| Weight | 1.70 Pounds |
| Dimensions | 6.14 x 1.50 x 9.21 In |
| List Price | $211.99 |
| Edition | 1st Edition |
| Format | Hardcover |
|---|---|
| Language | English |
| Pages | 450 pages |
| Publisher | Emerald Publishing Limited |
| Published On | 2012-07-02 |
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