By: Jonathan Batten (Editor), Niklas Wagner (Editor), Robert Thornton (Editor), J. Richard Aronson (Editor)

Hardcover

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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 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.

List of Contributors	p. ix
Advances in Derivatives and Economic Stability
Derivatives Securities Pricing and Modeling	p. 3
On the Role of Option Applications in Economic Instability	p. 15
Derivatives, Commodities, and Social Costs: Exploring Correlation in Economic Uncertainity	p. 47
Constingent Capital Securities: Problems and Scolutions	p. 71
High Dimensionality in Finance: A Graph-Theory Analysis	p. 93
Derivatives Prices and Risk-Neutral Distributions
Recovering Stochastic Processes from Option Prices	p. 123
The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory	p. 155
Risk-Neutral Densities and Catastrophe Events	p. 185
Derivatives Models and Model Performance
Non-Gaussian Price Dynamics and Implications for Option Pricing	p. 211
On the Empirical Behavior of Stochastic Volatility Models: Do Skewness and Kurtosis Matters?	p. 227
Re-Evaluating Hedging Performance for Asymmetry: The Case of Crude Oil	p. 259
On the Binomial-Three Approach to Convertible Bonds Pricing and Risk Assessment	p. 281
Derivatives Models, Risk Management, Credit and Corporate Control
A New Paradigm for Inflation Derivatives Modeling	p. 305
An Option-Pricing Framework for the Valuation of Fund Management Compensation	p. 331
An Equity-Based Credit Risk Model	p. 351
Business Cycles and the Impact of Macroeconomic Surprises on Interest Rate Swap Spreads: Australian Evidence	p. 379
The Evolution of the use of Derivatives in Slovenian Non-Financial Companies	p. 399
Index	p. 429
Table of Contents provided by Ingram. All Rights Reserved.

ISBN: 9781780526164
ISBN-10: 1780526164
Series: Contemporary Studies in Economic & Financial Analysis
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 450
Published: 2nd July 2012
Publisher: Emerald Group Publishing Limited
Dimensions (cm): 23.7 x 16.2  x 4.0
Weight (kg): 0.806