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UtOrBLW |
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20210303085156.0 |
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120724s2012 enka o 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781780526171 (electronic bk.) : |
| Terms of availability |
82.95 ; 121.95 ; 154.95 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
UtOrBLW |
| Transcribing agency |
UtOrBLW |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG6024.A3 |
| Item number |
D47 2012 |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KFCR |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KCX |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS027000 |
| Source |
bisacsh |
| 080 ## - UNIVERSAL DECIMAL CLASSIFICATION NUMBER |
|---|
| Universal Decimal Classification number |
330.3 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.6457 |
| Edition number |
23 |
| 245 00 - TITLE STATEMENT |
|---|
| Title |
Derivative securities pricing and modelling |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
edited by Jonathan A. Batten, Niklas Wagner. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
Bingley, U.K. : |
| Name of publisher, distributor, etc. |
Emerald, |
| Date of publication, distribution, etc. |
2012. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (xi, 433 p.) : |
| Other physical details |
ill. |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Contemporary studies in economic and financial analysis, |
| International Standard Serial Number |
1569-3759 ; |
| Volume/sequential designation |
v. 94 |
| 500 ## - GENERAL NOTE |
|---|
| General note |
Includes index. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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. |
| 588 0# - SOURCE OF DESCRIPTION NOTE |
|---|
| Source of description note |
Print version record |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Business & Economics |
| General subdivision |
Finance. |
| Source of heading or term |
bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Financial reporting, financial statements. |
| Source of heading or term |
bicssc |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Financial crises & disasters. |
| Source of heading or term |
bicssc |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Derivative securities |
| General subdivision |
Prices |
| -- |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Derivative securities |
| General subdivision |
Prices. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Batten, Jonathan. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Wagner, Niklas F., |
| Dates associated with a name |
1969- |
| 776 1# - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| International Standard Book Number |
9781780526164 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Contemporary studies in economic and financial analysis ; |
| Volume/sequential designation |
v. 94. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="https://www.emerald.com/insight/publication/doi/10.1108/S1569-3759(2012)94">https://www.emerald.com/insight/publication/doi/10.1108/S1569-3759(2012)94</a> |
