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006			m d
007			cr un|||||||||
008			120724s2012 enka o 001 0 eng d
020			_a9781780526171 (electronic bk.) : _c82.95 ; 121.95 ; 154.95
040			_aUtOrBLW _cUtOrBLW
050		4	_aHG6024.A3 _bD47 2012
072		7	_aKFCR _2bicssc
072		7	_aKCX _2bicssc
072		7	_aBUS027000 _2bisacsh
080			_a330.3
082	0	4	_a332.6457 _223
245	0	0	_aDerivative securities pricing and modelling _h[electronic resource] / _cedited by Jonathan A. Batten, Niklas Wagner.
260			_aBingley, U.K. : _bEmerald, _c2012.
300			_a1 online resource (xi, 433 p.) : _bill.
490	1		_aContemporary studies in economic and financial analysis, _x1569-3759 ; _vv. 94
500			_aIncludes index.
505	0		_aDerivatives 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			_aThis 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		_aPrint version record
650		7	_aBusiness & Economics _xFinance. _2bisacsh
650		7	_aFinancial reporting, financial statements. _2bicssc
650		7	_aFinancial crises & disasters. _2bicssc
650		0	_aDerivative securities _xPrices _xMathematical models.
650		0	_aDerivative securities _xPrices.
700	1		_aBatten, Jonathan.
700	1		_aWagner, Niklas F., _d1969-
776	1		_z9781780526164
830		0	_aContemporary studies in economic and financial analysis ; _vv. 94.
856	4	0	_uhttps://www.emerald.com/insight/publication/doi/10.1108/S1569-3759(2012)94
999			_c31066 _d31066