Derivatives Pricing and Modeling

Jonathan Batten · Niklas F. Wagner · Robert Thornton · J. Richard Aronson

2012年7月 · Emerald Group Publishing

電子書

450

頁

符合資格

評分和評論未經驗證瞭解詳情

關於本電子書

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.