| Description |
1 online resource (1 volume) |
| Series |
Contemporary studies in economics and financial analysis ; v. 94 |
|
Contemporary studies in economic and financial analysis ; v. 94
|
| Contents |
pt. I: Advances in derivatives and economic stability -- Derivaties securities pricing and modelling / Jonathan A. Batten, Niklas Wagner -- On the role of option applications in economic instability / Kavous Ardalen -- Derivatives, commodities, and social costs: exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan -- Contingent captial securities: problems and solutions / Michalis Ioannides, Frank S. Skinner -- High domensionality in finance: a graph-theory analysis / Delphine Lautier, Franck Raynaud -- pt. II: Derivatives prices and risk-neutral distributions -- 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 -- pt. III: Derivatives models and model performance -- Non-Gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente -- On the empirical behavior of stochasic volatility models: do skewness and kurtosis matter? -- 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 -- pt. IV: Derivatives models, risk management, credit and corporate control -- A new paradigm for inflation derivatives modeling -- 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 -- Index |
| 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 & pricing, model application & performance backtesting, new products & 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 |
| Notes |
Print version record |
| Subject |
Derivative securities -- Prices -- Mathematical models.
|
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Derivative securities -- Prices.
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| Form |
Electronic book
|
| Author |
Batten, Jonathan.
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Wagner, Niklas F., 1969-
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| ISBN |
1780526172 (electronic bk.) |
|
9781780526171 (electronic bk.) |
|
