Derivatives pricing, hedge funds and term structure models
著者
書誌事項
Derivatives pricing, hedge funds and term structure models
（Financial econometrics modeling）
Palgrave Macmillan, 2011
- : hardback
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
目次
- PART I: DERIVATIVES PRICING AND HEDGE FUNDS The Operation of Hedge Funds - Econometric Evidence, Dynamic Modeling and Regulatory Tasks
- W.Semmler & R.Chappe Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees
- T.Arnold, T.Falcon Crack & A.Schwartz Pricing the Derivatives of Derivatives using Toxic Assets as an Example
- C.V.Currie A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes
- M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman GARCH
- R.Pascalau, C.Thomann & G.N.Gregoriou Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case
- M.El-Hedi Arouri & F.Jawadi PART II: TERM STRUCTURE MODELS Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature
- M.Modena The Econometrics of Testing for Efficiency in the Financial Markets
- A.Hughes Hallett & C.Richter Interest Rate Models: Continuous and Discrete Time
- C.-Y. Hsiao & W.Semmler Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities
- S.Hakim & S.Neave
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