大葉大學圖書館 |

Derivative securities pricing and modelling[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.6457
書名/作者:	Derivative securities pricing and modelling/ edited by Jonathan A. Batten, Niklas Wagner.
其他作者:	Batten, Jonathan.
出版者:	Bingley, U.K. : : Emerald,, 2012.
面頁冊數:	1 online resource (xi, 433 p.) : : ill.
附註:	Includes index.
標題:	Derivative securities - Prices
標題:	Derivative securities - Prices.
ISBN:	9781780526171 (electronic bk.)
ISBN:	9781780526164
內容註:	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. Garca̕-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.
摘要、提要註:	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.
電子資源:	http://www.emeraldinsight.com/1569-3759/94

Derivative securities pricing and modelling[electronic resource] /
Derivative securities pricing and modelling[electronic resource] /edited by Jonathan A. Batten, Niklas Wagner. - Bingley, U.K. :Emerald,2012. - 1 online resource (xi, 433 p.) :ill. - Contemporary studies in economic and financial analysis,v. 941569-3759 ;. - Contemporary studies in economic and financial analysis ;v. 85..

Includes index.

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. Garca̕-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.

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.

ISBN: 9781780526171 (electronic bk.)Subjects--Topical Terms:

487190
Derivative securities
--Prices

LC Class. No.: HG6024.A3 / D47 2012

Dewey Class. No.: 332.6457

Universal Decimal Class. No.: 330.3

Derivative securities pricing and modelling[electronic resource] /
LDR:03510nam a2200277Ia 4500 001 386996
003 UtOrBLW
005 20130815114814.0
006 m d
007 cr un|||||||||
008 130913s2012 enka o 001 0 eng d
020 $a 9781780526171 (electronic bk.)
020 $a 9781780526164
035 $a bslw08763785
040 $a UtOrBLW $c UtOrBLW
050 4 $a HG6024.A3 $b D47 2012
080 $a 330.3
082 0 4 $a 332.6457 $2 23
245 0 0 $a Derivative securities pricing and modelling $h [electronic resource] / $c edited by Jonathan A. Batten, Niklas Wagner.
260 $a Bingley, U.K. : $b Emerald, $c 2012.
300 $a 1 online resource (xi, 433 p.) : $b ill.
490 1 $a Contemporary studies in economic and financial analysis, $x 1569-3759 ; $v v. 94
500 $a Includes index.
505 0 $a 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. Garca̕-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.
520 $a 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.
650 0 $a Derivative securities $x Prices $x Mathematical models. $3 487190
650 0 $a Derivative securities $x Prices. $3 367200
700 1 $a Batten, Jonathan. $3 521536
700 1 $a Wagner, Niklas F., $d 1969- $3 521719
776 1 $z 9781780526164
830 0 $a Contemporary studies in economic and financial analysis ; $v v. 85. $3 401227
856 4 0 $u http://www.emeraldinsight.com/1569-3759/94