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Financial econometrics modeling[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.015195
書名/作者:	Financial econometrics modeling/ edited by Greg N. Gregoriou, Razvan Pascalau.
其他作者:	Gregoriou, Greg N.,
出版者:	Basingstoke : : Palgrave Macmillan,, 2011.
面頁冊數:	1 v. ;; 22 cm.
標題:	Econometrics.
標題:	Finance - Mathematical models.
標題:	Financial risk management - Mathematical models.
ISBN:	9780230295209 (electronic bk.)
ISBN:	0230295207 (electronic bk.)
內容註:	The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks / W.Semmler & R.Chappe -- Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz -- Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie -- A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman -- GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou -- Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi -- Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena -- The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter -- Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler -- Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.
摘要、提要註:	This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.
電子資源:	An electronic book accessible through the World Wide Web; click for information

Financial econometrics modeling[electronic resource] /
Financial econometrics modeling[electronic resource] /edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2011. - 1 v. ;22 cm.

The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks / W.Semmler & R.Chappe -- Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz -- Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie -- A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman -- GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou -- Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi -- Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena -- The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter -- Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler -- Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2011.

Mode of access: World Wide Web.

ISBN: 9780230295209 (electronic bk.)

Source: 484461Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

186734
Econometrics.
Index Terms--Genre/Form:

336502
Electronic books.

LC Class. No.: HB139 / .F56 2011

Dewey Class. No.: 332.015195

Financial econometrics modeling[electronic resource] /
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505 0 $a The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks / W.Semmler & R.Chappe -- Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz -- Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie -- A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman -- GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou -- Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi -- Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena -- The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter -- Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler -- Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.
520 $a This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.
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650 0 $a Finance $x Mathematical models. $3 342179
650 0 $a Financial risk management $x Mathematical models. $3 376976
655 7 $a Electronic books. $2 local $3 336502
700 1 $a Gregoriou, Greg N., $d 1956- $3 373161
700 1 $a Pascalau, Razvan. $3 522863
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