Derivatives Securities Pricing and Modeling

by ;
Format: Hardcover
Pub. Date: 2012-07-02
Publisher(s): Emerald Group Pub Ltd
List Price: $200.99

Rent Textbook

Select for Price
There was a problem. Please try again later.

Rent Digital eBook

Online: 1825 Days
Downloadable: Lifetime Access

New Textbook

We're Sorry
Sold Out

Used Textbook

We're Sorry
Sold Out

This item is being sold by an Individual Seller and will not ship from the Online Bookstore's warehouse. The Seller must confirm the order within two business days. If the Seller refuses to sell or fails to confirm within this time frame, then the order is cancelled.

Please be sure to read the Description offered by the Seller.


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 & pricing, model application & performance backtesting, new products & 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.

Table of Contents

List of Contributorsp. ix
Advances in Derivatives and Economic Stability
Derivatives Securities Pricing and Modelingp. 3
On the Role of Option Applications in Economic Instabilityp. 15
Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainityp. 47
Constingent Capital Securities: Problems and Scolutionsp. 71
High Dimensionality in Finance: A Graph-Theory Analysisp. 93
Derivatives Prices and Risk-Neutral Distributions
Recovering Stochastic Processes from Option Pricesp. 123
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theoryp. 155
Risk-Neutral Densities and Catastrophe Eventsp. 185
Derivatives Models and Model Performance
Non-Gaussian Price Dynamics and Implications for Option Pricingp. 211
On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matters?p. 227
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oilp. 259
On the Binomial-Three Approach to Convertible Bonds Pricing and Risk Assessmentp. 281
Derivatives Models, Risk Management, Credit and Corporate Control
A New Paradigm for Inflation Derivatives Modelingp. 305
An Option-Pricing Framework for the Valuation of Fund Management Compensationp. 331
An Equity-Based Credit Risk Modelp. 351
Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidencep. 379
The Evolution of the use of Derivatives in Slovenian Non-Financial Companiesp. 399
Indexp. 429
Table of Contents provided by Ingram. All Rights Reserved.

An electronic version of this book is available through VitalSource.

This book is viewable on PC, Mac, iPhone, iPad, iPod Touch, and most smartphones.

By purchasing, you will be able to view this book online, as well as download it, for the chosen number of days.

A downloadable version of this book is available through the eCampus Reader or compatible Adobe readers.

Applications are available on iOS, Android, PC, Mac, and Windows Mobile platforms.

Please view the compatibility matrix prior to purchase.