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Derivative Securities Pricing and Modelling. デリバティブ証券の価格設定とモデリング
・ISBN 978-1-78052-616-4 hard US$ 222.99
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| 著者・編者 | Batten, Jonathan / Wagner, N. (eds.), |
|---|---|
| シリーズ | Contemporary Studies in Economic and Financial Analysis |
| 出版社 | (Emerald, UK) |
| 出版年月 | 2012 |
| ページ数 | 450 pp. |
| 言語 | ENG |
| ニュース番号 | ＜594-434 594-800＞ |
解説
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.