Derivative securities pricing and modelling /:
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.
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bradford :
Emerald,
2012.
|
| Ausgabe: | 1st ed. |
| Schriftenreihe: | Contemporary studies in economic and financial analysis ;
v. 94. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (446 pages). |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9781780526171 1780526172 9781780526164 1780526164 1280999012 9781280999017 9786613770622 6613770620 |
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| 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. |
| ctrlnum | (OCoLC)798536422 |
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| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed. |
| format | Electronic eBook |
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| indexdate | 2024-11-26T14:49:06Z |
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| publisher | Emerald, |
| record_format | marc |
| series | Contemporary studies in economic and financial analysis ; |
| series2 | Contemporary studies in economic and financial analysis ; |
| spelling | Derivative securities pricing and modelling / edited by Jonathan A. Batten, Niklas Wagner. 1st ed. Bradford : Emerald, 2012. 1 online resource (446 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier Contemporary studies in economic and financial analysis ; v. 94 Print version record. 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. Includes bibliographical references and 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. 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. English. Derivative securities Prices Mathematical models. Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Derivative securities Prices. Instruments dérivés (Finances) Instruments dérivés (Finances) Prix. Instruments dérivés (Finances) Prix Modèles mathématiques. Financial crises & disasters. bicssc Financial reporting, financial statements. bicssc BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices fast Derivative securities fast Derivative securities Prices Mathematical models fast Batten, Jonathan. http://id.loc.gov/authorities/names/nb2001028942 Wagner, Niklas F., 1969- https://id.oclc.org/worldcat/entity/E39PCjFpbb4BGDccDkbmt4Vmr3 http://id.loc.gov/authorities/names/no2001036166 Print version: Derivative securities pricing and modelling. Bradford : Emerald, ©2012 9781780526164 Contemporary studies in economic and financial analysis ; v. 94. http://id.loc.gov/authorities/names/n42008196 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=466851 Volltext |
| spellingShingle | Derivative securities pricing and modelling / Contemporary studies in economic and financial analysis ; 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. Derivative securities Prices Mathematical models. Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Derivative securities Prices. Instruments dérivés (Finances) Instruments dérivés (Finances) Prix. Instruments dérivés (Finances) Prix Modèles mathématiques. Financial crises & disasters. bicssc Financial reporting, financial statements. bicssc BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices fast Derivative securities fast Derivative securities Prices Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh93005704 |
| 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 | Derivative securities Prices Mathematical models. Derivative securities. http://id.loc.gov/authorities/subjects/sh93005704 Derivative securities Prices. Instruments dérivés (Finances) Instruments dérivés (Finances) Prix. Instruments dérivés (Finances) Prix Modèles mathématiques. Financial crises & disasters. bicssc Financial reporting, financial statements. bicssc BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices fast Derivative securities fast Derivative securities Prices Mathematical models fast |
| topic_facet | Derivative securities Prices Mathematical models. Derivative securities. Derivative securities Prices. Instruments dérivés (Finances) Instruments dérivés (Finances) Prix. Instruments dérivés (Finances) Prix Modèles mathématiques. Financial crises & disasters. Financial reporting, financial statements. BUSINESS & ECONOMICS Investments & Securities General. Derivative securities Prices Derivative securities Derivative securities Prices Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=466851 |
| work_keys_str_mv | AT battenjonathan derivativesecuritiespricingandmodelling AT wagnerniklasf derivativesecuritiespricingandmodelling |