Jonathan Batten,Niklas Wagner's Derivatives Pricing and Modeling: 94 (Contemporary Studies PDF

By Jonathan Batten,Niklas Wagner

This edited quantity will spotlight contemporary learn in derivatives modelling and markets in a post-crisis international throughout a couple of dimensions or issues. This booklet addresses the next major parts: derivatives types & pricing, version software & functionality backtesting, new items & industry gains. specific topics surround: non-stop and discrete time modeling, statistical arbitrage versions, arbitrage-free pricing, risk-neutral implied densities, equilibrium pricing methods (including e.g. co-integration), purposes of tools in computational facts together with simulation, computationally severe concepts for pricing, estimation and backtesting, complicated by-product items, credits and counterparty threat, and cutting edge marketplace and product structures.

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Derivatives Pricing and Modeling: 94 (Contemporary Studies in Economic and Financial Analysis) by Jonathan Batten,Niklas Wagner


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