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" Financial econometrics modeling : "
edited by Greg N. Gregoriou and Razvan Pascalau.
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BL
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| Record Number
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981276
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| Doc. No
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b735646
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| Title & Author
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Financial econometrics modeling : : derivatives pricing, hedge funds and term structure models /\ edited by Greg N. Gregoriou and Razvan Pascalau.
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| Publication Statement
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Basingstoke ;New York :: Palgrave Macmillan,, 2011.
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| Page. NO
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xxiii, 206 pages :: illustrations ;; 23 cm
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| ISBN
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0230283632
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: 9780230283633
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| Bibliographies/Indexes
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Includes bibliographical references and index.
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| Abstract
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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, 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.
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| Subject
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Econometrics.
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Finance-- Mathematical models.
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Financial risk management-- Mathematical models.
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Econometrics.
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| Subject
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Econométrie.
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Ekonometri.
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Finance-- Mathematical models.
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Finanzierung
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Fonds spéculatif.
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| Subject
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Marché financier.
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| Subject
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Modèles économétriques.
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| Subject
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Ökonometrisches Modell
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| Subject
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Riskhantering-- matematiska modeller.
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| Dewey Classification
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332.015195
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| LC Classification
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HB141.F54 2011
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| Added Entry
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Gregoriou, Greg N.,1956-
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Pascalau, Razvan.
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