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Financial Econometrics Modeling "Derivatives Pricing, Hedge Funds And Term Structure Models"

Derivatives Pricing, Hedge Funds And Term Structure Models

Financial Econometrics Modeling "Derivatives Pricing, Hedge Funds And Term Structure Models". Derivatives Pricing, Hedge Funds And Term Structure Models

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  • ISBN:9780230283633
  • Editorial: Palgrave
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:304
  • Idiomas:Ingles

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This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets. In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling. Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.

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; G.N.Gregoriou & R.Pascalau 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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