| Edition |
1st ed. |
| Description |
1 online resource (446 pages). |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Contemporary studies in economic and financial analysis ; v. 94
|
|
Contemporary studies in economic and financial analysis ; v. 94.
|
| Summary |
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features. |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Derivatives securities pricing and modelling / Jonathan A. Batten, Niklas Wagner -- On the role of option applications in economic instability / Kavous Ardalan -- Derivatives, commodities, and social costs : exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan -- Contingent capital securities : problems and solutions / Michalis Ioannides, Frank S. Skinner -- High dimensionality in finance : a graph-theory analysis / Delphine Lautier, Franck Raynaud -- Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein -- The pricing kernel puzzle : reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth -- Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck -- Non-gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente -- On the empirical behavior of stochastic volatility models : do skewness and kurtosis matter? / Marco M. García-Alonso, Manuel Moreno, Javier F. Navas -- Re-evaluating hedging performance for asymmetry : the case of crude oil / John Cotter, Jim Hanly -- On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev -- A new paradigm for inflation derivatives modeling / Lixin Wu -- An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner -- An equity-based credit risk model / Gaia Barone -- Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence / Victor Fang, A.S.M. Sohel Azad, Jonathan A. Batten, Chien-Ting Lin -- The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Language |
English. |
| Subject |
Derivative securities -- Prices -- Mathematical models.
|
|
Derivative securities -- Prices -- Mathematical models. |
| Genre/Form |
Electronic books.
|
|
Electronic books.
|
| Added Author |
Batten, Jonathan.
|
|
Wagner, Niklas F., 1969-
|
| Other Form: |
Print version: Derivative securities pricing and modelling. Bradford : Emerald, ©2012 9781780526164 |
| ISBN |
9781780526171 (electronic book) |
|
1780526172 (electronic book) |
|
9781780526164 |
|
1780526164 (Trade Cloth) |
|
1280999012 |
|
9781280999017 |
|
9786613770622 |
|
6613770620 |
|
