Derivative Securities Pricing and Modelling : 9781780526164

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.

Author: Jonathan Batten

Publisher: Emerald Group Publishing

Publication Date: Jul 02, 2012

Number of Pages: 450 pages

Binding: Hardback or Cased Book

ISBN-10: 1780526164

ISBN-13: 9781780526164