Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models

Hardcover | January 15, 2011

EditorGreg N. Gregoriou, Razvan Pascalau

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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.

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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.

GREG N. GREGORIOU is Professor of Finance at State University of New York (Plattsburgh), USA. He has published 41 books, over 60 refereed publications and 22 book chapters. He obtained his joint Ph.D. in Finance at the University of Quebec at Montreal. RAZVAN PASCALAU is assistant professor of Economics at State Uiversity of New York ...

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Format:HardcoverDimensions:304 pages, 8.84 × 5.68 × 0.75 inPublished:January 15, 2011Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230283632

ISBN - 13:9780230283633

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Table of Contents

PART I: DERIVATIVES PRICING AND HEDGE FUNDS
The Operation of Hedge Funds--Econometric Evidence, Dynamic Modeling and Regulatory Tasks; W.Semmler& R.Chappe
Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees; T.Arnold, T.Falcon Crack& A.Schwartz
Pricing the Derivatives of Derivatives using Toxic Assets as an Example; C.V.Currie
A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes; M.Bhuruth, R.Boojhawon, A.Gopaul& Y.Desire Tangman
GARCH; R.Pascalau, C.Thomann & G.N.Gregoriou
Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case; M.El-Hedi Arouri& F.Jawadi
PART II: TERM STRUCTURE MODELS
Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature; M.Modena
The Econometrics of Testing for Efficiency in the Financial Markets; A.Hughes Hallett& C.Richter
Interest Rate Models: Continuous and Discrete Time; C.-Y. Hsiao& W.Semmler
Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities; S.Hakim& S.Neave