MARC Record from harvard_bibliographic_metadata

LEADER: 03632nam a2200325 a 4500
001 012684857-2
005 20111004103230.0
008 110317s2011 enka b 001 0 eng
010 $a 2011280996
015 $aGBB098102$2bnb
016 7 $a015629357$2Uk
020 $a9780230283633 (hbk.)
035 0 $aocn694227380
040 $aUKM$cUKM$dYDXCP$dBWX$dMIA$dCDX$dDLC
042 $alccopycat
050 00 $aHB141$b.F54 2011
082 04 $a332.015195$222
245 00 $aFinancial econometrics modeling :$bderivatives pricing, hedge funds and term structure models /$cedited by Greg N. Gregoriou and Razvan Pascalau.
260 $aBasingstoke ;$aNew York :$bPalgrave Macmillan,$c2011.
300 $axxiii, 206 p. :$bill. ;$c23 cm.
504 $aIncludes bibliographical references and index.
505 00 $gMachine generated contents note:$gpt. I$tDerivatives Pricing and Hedge Funds --$g1.$tThe Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives /$rWilli Semmler and Raphaële Chappe --$g2.$tInferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees /$rTom Arnold, Timothy Falcon Crack, and Adam Schwartz --$g3.$tPricing Toxic Assets /$rCarolyn V. Currie --$g4.$tA General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes /$rYannick Desire Tangman [and others] --$g5.$tUnconditional Mean, Volatility, and the FOURIER-GARCH Representation /$rRazvan Pascalau, Christian Thomann, and Greg N. Gregoriou --$g6.$tEssays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case /$rMohamed El-Hedi Arouri and Fredi Jawadi --$gpt. II$tTerm Structure Models --$g7.$tA Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity /$rMatteo Modena --$g8.$tOn the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure /$rAndrew Hughes Hallett and Christian Richter --$g9.$tContinuous and Discrete Time Modeling of Short-Term Interest Rates /$rChih-Ying Hsiao and Willi Semmler --$g10.$tTesting the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities /$rSam Hakim and Simon Neaime.
520 $aThis 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. 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.
650 0 $aEconometrics.
650 0 $aFinance$xMathematical models.
650 0 $aFinancial risk management$xMathematical models.
700 1 $aGregoriou, Greg N.,$d1956-
700 1 $aPascalau, Razvan.
988 $a20110215
906 $0OCLC