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Derivative Securities Pricing and Modelling

Derivative Securities Pricing and Modelling

Hardcover

Series: Contemporary Studies in Economic and Financial Analysis, Book 94

Investing & Finance

ISBN10: 1780526164
ISBN13: 9781780526164
Publisher: Emerald Pub Ltd
Published: Jul 2 2012
Pages: 450
Weight: 1.70
Height: 1.50 Width: 6.20 Depth: 9.10
Language: English
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.

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