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• Title:Financial econometrics modeling : derivatives pricing, hedge funds and term structure models / edited by Greg N. Gregoriou, Razvan Pascalau.
  
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• Other Contributors/Collections:Gregoriou, Greg N., 1956-
  Pascalau, Razvan.
  
• Published/Created:Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2011.
  

• Holdings

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  • Location:KOERNER LIBRARY stacks (Floor 1)Where is this?
    
  • Call Number: HB141 .F56 2011
    
  • Number of Items:1
    
  • Status:Available
    
  • Links:Donor bookplate
    

   
• Library of Congress Subjects:Econometrics.
  Finance--Mathematical models.
  Financial risk management--Mathematical models.
  
• Description:xxiii, 206 pages ; 23 cm.
  
• Summary: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.
  
• Notes:Includes bibliographical references and index.
  
• ISBN:9780230283633 (hardback)
  0230283632 (hardback)
  
• Contents:Machine generated contents note: pt. I Derivatives Pricing and Hedge Funds
  1. The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives / Willi Semmler and Raphaële Chappe
  2. Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees / Tom Arnold, Timothy Falcon Crack, and Adam Schwartz
  3. Pricing Toxic Assets / Carolyn V. Currie
  4. A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes / Yannick Desire Tangman [and others]
  5. Unconditional Mean, Volatility, and the FOURIER-GARCH Representation / Razvan Pascalau, Christian Thomann, and Greg N. Gregoriou
  6. Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / Mohamed El-Hedi Arouri and Fredi Jawadi
  pt. II Term Structure Models
  7. A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity / Matteo Modena
  8. On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure / Andrew Hughes Hallett and Christian Richter
  9. Continuous and Discrete Time Modeling of Short-Term Interest Rates / Chih-Ying Hsiao and Willi Semmler
  10. Testing the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities / Sam Hakim and Simon Neaime.