Derivatives Securities Pricing and Modeling

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

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Summary

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.

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