Derivative Securities Pricing and Modelling

Product Description 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. Review Seventeen chapters presented by Batten (Hong Kong U. of Science & Technology, China) and Wagner (U. of Passau, Germany) examine the link between financial derivatives and the role they play in managing risk in financial and broader economic systems. The volume's 17 essays are grouped into four parts focusing on: the relationship between derivatives and economic stability; derivatives pricing and risk-neutral probabilities; derivatives modeling and model performance; and financial risk management, credit management, and corporate control. Distributed in North America by Turpin Distribution. --Book News Inc. Portland, OR About the Author Jonathan Batten - Hong Kong UniversityNiklas Wagner - Passau University, Germany