Derivative Securities Pricing and Modelling (Contemporary Studies in Economic and Financial Analysis)

By Jonathan A. Batten

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.

• Format: Hardcover
• Language: English
• ISBN: 1780526164
• ISBN13: 9781780526164
• Release Date: July 2012
• Publisher: Emerald Group Publishing
• Length: 450 Pages
• Weight: 1.70 lbs.
• Dimensions: 1.5" x 6.2" x 9.1"