Derivatives Pricing and Modeling
Business & Finance, Economics, Economic History, Finance & Investing, Finance
| Author: | Robert Thornton, J. Richard Aronson | ISBN: | 9781780526171 |
| Publisher: | Emerald Group Publishing Limited | Publication: | July 2, 2012 |
| Imprint: | Emerald Group Publishing Limited | Language: | English |
| Author: | Robert Thornton, J. Richard Aronson |
| ISBN: | 9781780526171 |
| Publisher: | Emerald Group Publishing Limited |
| Publication: | July 2, 2012 |
| Imprint: | Emerald Group Publishing Limited |
| Language: | English |
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.
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.
