Derivative securities pricing and modelling / edited by Jonathan A. Batten, Niklas Wagner.
Material type: TextSeries: Contemporary studies in economic and financial analysis ; v. 94.Publication details: Bradford : Emerald, 2012.Edition: 1st edDescription: 1 online resource (446 pages)Content type:- text
- computer
- online resource
- 9781780526171
- 1780526172
- 9781780526164
- 1780526164
- 1280999012
- 9781280999017
- 9786613770622
- 6613770620
- Derivative securities -- Prices -- Mathematical models
- Derivative securities
- Derivative securities -- Prices
- Instruments dérivés (Finances)
- Instruments dérivés (Finances) -- Prix
- Instruments dérivés (Finances) -- Prix -- Modèles mathématiques
- Financial crises & disasters
- Financial reporting, financial statements
- BUSINESS & ECONOMICS -- Investments & Securities -- General
- Derivative securities -- Prices -- Mathematical models
- 332.6457
- HG6024.A3 D47 2012eb
Item type | Home library | Collection | Call number | Materials specified | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
Electronic-Books | OPJGU Sonepat- Campus | E-Books EBSCO | Available |
Print version record.
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Includes bibliographical references and index.
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.
English.
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