Derivative Securities Pricing and Modelling

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.

• | Author: Jonathan Batten
• | Publisher: Emerald Group Publishing
• | Publication Date: Jul 02, 2012
• | Number of Pages: 450 pages
• | Binding: Hardback or Cased Book
• | ISBN-10: 1780526164
• | ISBN-13: 9781780526164