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Book cover for Derivatives Pricing and Modeling, a book by Jonathan Batten, Niklas F. Wagner, Robert Thornton, J. Richard Aronson Book cover for Derivatives Pricing and Modeling, a book by Jonathan Batten, Niklas F. Wagner, Robert Thornton, J. Richard Aronson

Derivatives Pricing and Modeling

2012 ᛫


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Summary


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.