Contemporary Studies in Economic and Financial Analysis, Volume 94

ebook Contemporary Studies in Economic and Financial Analysis

By Jonathan Batten

cover image of Contemporary Studies in Economic and Financial Analysis, Volume 94

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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 & 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
  • Contemporary Studies in Economic and Financial Analysis, Volume 94