Derivatives Pricing and Modeling

Business & Finance, Economics, Economic History, Finance & Investing, Finance
Cover of the book Derivatives Pricing and Modeling by Robert Thornton, J. Richard Aronson, Emerald Group Publishing Limited
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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.

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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.

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