Derivative securities pricing and modelling:
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 --...
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Bingley, U.K.
Emerald
2012
|
| Schriftenreihe: | Contemporary studies in economic and financial analysis
v. 94 |
| Schlagworte: | |
| Online-Zugang: | FHN01 FWS01 FWS02 UEI01 UER01 Volltext |
| Zusammenfassung: | 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 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 |
| Beschreibung: | Includes index 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 |
| Beschreibung: | 1 Online-Ressource (xi, 433 p.) |
| ISBN: | 9781780526171 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV045302655 | ||
| 003 | DE-604 | ||
| 005 | 20220113 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 181121s2012 |||| o||u| ||||||eng d | ||
| 020 | |a 9781780526171 |c electronic bk. |9 978-1-78052-617-1 | ||
| 035 | |a (ZDB-55-BME)bslw08763785 | ||
| 035 | |a (OCoLC)1076302633 | ||
| 035 | |a (DE-599)BVBBV045302655 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-863 |a DE-862 |a DE-92 |a DE-824 |a DE-29 | ||
| 082 | 0 | |a 332.6457 |2 23 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 245 | 1 | 0 | |a Derivative securities pricing and modelling |c edited by Jonathan A. Batten, Niklas Wagner |
| 264 | 1 | |a Bingley, U.K. |b Emerald |c 2012 | |
| 300 | |a 1 Online-Ressource (xi, 433 p.) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 1 | |a Contemporary studies in economic and financial analysis |v v. 94 | |
| 500 | |a Includes index | ||
| 500 | |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 | ||
| 520 | |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. 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 | ||
| 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 | ||
| 600 | 1 | 7 | |a bisacsh |2 bicssc |
| 650 | 4 | |a Business & Economics / Finance | |
| 650 | 4 | |a Financial reporting, financial statements | |
| 650 | 4 | |a Financial crises & disasters | |
| 650 | 4 | |a Derivative securities / Prices / Mathematical models | |
| 650 | 4 | |a Derivative securities / Prices | |
| 700 | 1 | |a Batten, Jonathan A. |e Sonstige |0 (DE-588)17091559X |4 oth | |
| 700 | 1 | |a Wagner, Niklas F. |d 1969- |e Sonstige |0 (DE-588)120208504 |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 978-1-78052-616-4 |
| 830 | 0 | |a Contemporary studies in economic and financial analysis |v v. 94 |w (DE-604)BV023055452 |9 94 | |
| 856 | 4 | 0 | |u http://www.emeraldinsight.com/1569-3759/94 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-55-BME | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-030689775 | ||
| 966 | e | |u http://www.emeraldinsight.com/1569-3759/94 |l FHN01 |p ZDB-55-BME |q FHN_BME_Archiv |x Verlag |3 Volltext | |
| 966 | e | |u http://www.emeraldinsight.com/1569-3759/94 |l FWS01 |p ZDB-55-BME |q FWS_BME_Archiv |x Verlag |3 Volltext | |
| 966 | e | |u http://www.emeraldinsight.com/1569-3759/94 |l FWS02 |p ZDB-55-BME |q FWS_BME_Archiv |x Verlag |3 Volltext | |
| 966 | e | |u http://www.emeraldinsight.com/1569-3759/94 |l UEI01 |p ZDB-55-BME |q UEI_BME_Archiv |x Verlag |3 Volltext | |
| 966 | e | |u http://www.emeraldinsight.com/1569-3759/94 |l UER01 |p ZDB-55-BME |q UER_BME_Archiv |x Verlag |3 Volltext | |
Datensatz im Suchindex
| DE-BY-FWS_katkey | 708427 |
|---|---|
| _version_ | 1806185795990585344 |
| any_adam_object | |
| author_GND | (DE-588)17091559X (DE-588)120208504 |
| building | Verbundindex |
| bvnumber | BV045302655 |
| classification_rvk | QK 660 |
| collection | ZDB-55-BME |
| ctrlnum | (ZDB-55-BME)bslw08763785 (OCoLC)1076302633 (DE-599)BVBBV045302655 |
| dewey-full | 332.6457 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6457 |
| dewey-search | 332.6457 |
| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05763nmm a2200541zcb4500</leader><controlfield tag="001">BV045302655</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20220113 </controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">181121s2012 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781780526171</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-1-78052-617-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-55-BME)bslw08763785</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1076302633</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV045302655</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield><subfield code="a">DE-862</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-29</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6457</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Derivative securities pricing and modelling</subfield><subfield code="c">edited by Jonathan A. Batten, Niklas Wagner</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Bingley, U.K.</subfield><subfield code="b">Emerald</subfield><subfield code="c">2012</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (xi, 433 p.)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Contemporary studies in economic and financial analysis</subfield><subfield code="v">v. 94</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes index</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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. 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</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="600" ind1="1" ind2="7"><subfield code="a">bisacsh</subfield><subfield code="2">bicssc</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Business & Economics / Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial reporting, financial statements</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial crises & disasters</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities / Prices / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities / Prices</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Batten, Jonathan A.</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)17091559X</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Wagner, Niklas F.</subfield><subfield code="d">1969-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)120208504</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">978-1-78052-616-4</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Contemporary studies in economic and financial analysis</subfield><subfield code="v">v. 94</subfield><subfield code="w">(DE-604)BV023055452</subfield><subfield code="9">94</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-55-BME</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-030689775</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="l">FHN01</subfield><subfield code="p">ZDB-55-BME</subfield><subfield code="q">FHN_BME_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="l">FWS01</subfield><subfield code="p">ZDB-55-BME</subfield><subfield code="q">FWS_BME_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="l">FWS02</subfield><subfield code="p">ZDB-55-BME</subfield><subfield code="q">FWS_BME_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="l">UEI01</subfield><subfield code="p">ZDB-55-BME</subfield><subfield code="q">UEI_BME_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://www.emeraldinsight.com/1569-3759/94</subfield><subfield code="l">UER01</subfield><subfield code="p">ZDB-55-BME</subfield><subfield code="q">UER_BME_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV045302655 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-01T13:50:04Z |
| institution | BVB |
| isbn | 9781780526171 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030689775 |
| oclc_num | 1076302633 |
| open_access_boolean | |
| owner | DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-29 |
| owner_facet | DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-29 |
| physical | 1 Online-Ressource (xi, 433 p.) |
| psigel | ZDB-55-BME ZDB-55-BME FHN_BME_Archiv ZDB-55-BME FWS_BME_Archiv ZDB-55-BME UEI_BME_Archiv ZDB-55-BME UER_BME_Archiv |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Emerald |
| record_format | marc |
| series | Contemporary studies in economic and financial analysis |
| series2 | Contemporary studies in economic and financial analysis |
| spellingShingle | Derivative securities pricing and modelling Contemporary studies in economic and financial analysis bisacsh bicssc Business & Economics / Finance Financial reporting, financial statements Financial crises & disasters Derivative securities / Prices / Mathematical models Derivative securities / Prices |
| title | Derivative securities pricing and modelling |
| title_auth | Derivative securities pricing and modelling |
| title_exact_search | Derivative securities pricing and modelling |
| title_full | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner |
| title_fullStr | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner |
| title_full_unstemmed | Derivative securities pricing and modelling edited by Jonathan A. Batten, Niklas Wagner |
| title_short | Derivative securities pricing and modelling |
| title_sort | derivative securities pricing and modelling |
| topic | bisacsh bicssc Business & Economics / Finance Financial reporting, financial statements Financial crises & disasters Derivative securities / Prices / Mathematical models Derivative securities / Prices |
| topic_facet | bisacsh Business & Economics / Finance Financial reporting, financial statements Financial crises & disasters Derivative securities / Prices / Mathematical models Derivative securities / Prices |
| url | http://www.emeraldinsight.com/1569-3759/94 |
| volume_link | (DE-604)BV023055452 |
| work_keys_str_mv | AT battenjonathana derivativesecuritiespricingandmodelling AT wagnerniklasf derivativesecuritiespricingandmodelling |