Derivatives Securities Pricing and Modeling
by Batten, Jonathan A.; Wagner, NiklasFormat: Hardcover
Pub. Date: 2012-07-02
Publisher(s): Emerald Group Pub Ltd
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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 Contributors | p. ix |
| Advances in Derivatives and Economic Stability | |
| Derivatives Securities Pricing and Modeling | p. 3 |
| On the Role of Option Applications in Economic Instability | p. 15 |
| Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainity | p. 47 |
| Constingent Capital Securities: Problems and Scolutions | p. 71 |
| High Dimensionality in Finance: A Graph-Theory Analysis | p. 93 |
| Derivatives Prices and Risk-Neutral Distributions | |
| Recovering Stochastic Processes from Option Prices | p. 123 |
| The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory | p. 155 |
| Risk-Neutral Densities and Catastrophe Events | p. 185 |
| Derivatives Models and Model Performance | |
| Non-Gaussian Price Dynamics and Implications for Option Pricing | p. 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 Oil | p. 259 |
| On the Binomial-Three Approach to Convertible Bonds Pricing and Risk Assessment | p. 281 |
| Derivatives Models, Risk Management, Credit and Corporate Control | |
| A New Paradigm for Inflation Derivatives Modeling | p. 305 |
| An Option-Pricing Framework for the Valuation of Fund Management Compensation | p. 331 |
| An Equity-Based Credit Risk Model | p. 351 |
| Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidence | p. 379 |
| The Evolution of the use of Derivatives in Slovenian Non-Financial Companies | p. 399 |
| Index | p. 429 |
| Table of Contents provided by Ingram. All Rights Reserved. |
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