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Derivative securities pricing and modelling / edited by Jonathan A. Batten, Niklas Wagner

Published
Bradford : Emerald, 2012.
Edition
1st ed.
Physical Description
1 online resource (446 pages).
Additional Creators
Batten, Jonathan and Wagner, Niklas F., 1969-
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Series
Language Note
English.
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.
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.
Subject(s)
ISBN
9781780526171 (electronic bk.)
1780526172 (electronic bk.)
9781780526164
1780526164 (Trade Cloth)
1280999012
9781280999017
9786613770622
6613770620
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 43189310