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Derivatives Pricing and Modeling

Name: Derivatives Pricing and Modeling
Brand: Emerald Group Publishing Limited
SKU: 40786815
Price: 160.81 EUR
Availability: InStock
Author: Jonathan Batten
ISBN: 9781780526171

Language

English

E-book Adobe ePub DRM

Libristo code: 40786815

Publishers Emerald Group Publishing Limited, July 2012

This edited volume will highlight recent research in derivatives modelling and markets in a post-cri... Full description

Libristo code: 40786815

393 b

160.81 €

314.52 лв

In stock Immediate digital delivery

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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.