Derivative Securities Pricing and Modelling (Contemporary Studies in Economic and Financial Analysis)

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.