[Contemporary Studies in Economic and Financial Analysis] Derivative Securities Pricing and Modelling Volume 94 || Non-Gaussian Price Dynamics and Implications for Option Pricing
✍ Scribed by Batten, Jonathan A.; Wagner, Niklas
- Book ID
- 121530253
- Publisher
- Emerald Group Publishing Limited
- Year
- 2012
- Tongue
- English
- Weight
- 480 KB
- Edition
- 2
- Volume
- 10.1108/S1569-3759(2012)94
- Category
- Article
- ISBN
- 1780526172
- ISSN
- 1569-3759
No coin nor oath required. For personal study only.
✦ Synopsis
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.