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Palgrave Macmillan

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

ISBN 9780230283633
Publication Date January 2011
Formats Hardcover Ebook (EPUB) Ebook (PDF) 
Publisher Palgrave Macmillan

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.

GREG N. GREGORIOU is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, over 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

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
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

TOM ARNOLD Associate Professor at the Robins School of Business at the University of Richmond, USA
MUDDUN BHURUTH Professor of Computational Mathematics in the Department of Mathematics at the University of Mauritius
RAVINDRA BOOJHAWON Senior Lecturer in the Department of Mathematics at the University of Mauritius
RAPHAELE CHAPPEADAM CLEMENTS Queensland University of Technology, USA
TIMOTHY FALCON CRACK Chair in Finance at Otago University, New Zealand
CAROLYN V. CURRIE member of the Association of Certified Practising Accountants, the Chartered Secretaries Association, and a Fellow of Finsia, a merger of the Australian Institute of Banking and Finance and the Securities Institute, Australia
ASHVIN GOPAUL Associate Professor of Mathematics in the Department of Mathematics at the University of Mauritius
SAM HAKIM adjunct professor of Finance at Pepperdine University in Malibu, California, USA
ANDREW HUGHES HALLETT Professor of Economics and Public Policy in the School of Public Policy at George Mason University, USA
CHIH-YING HSIAO Research Associate on the project 'Assessing and Estimating Credit Risk' at University of Technology Sydney, Australia
A. STAN HURN Professor in the School of Economics and Finance at Queensland University of Technology, Australia
KENNETH LINDSAY Professor of Applied Mathematics at the Department of Mathematics at the University of Glasgow, UK
MATTEO MODENA PhD student in Economics at the University of Glasgow, UK
SIMON NEAVE Professor and Chair of the Department of Economics, American University of Beirut, Lebanon
CHRISTIAN RICHTER Senior Lecturer in Economics at the School of Economics, Kingston University, UK
ADAM SCHWARTZ Associate Professor at the Williams School of Commerce, Economics, and Politics at Washington and Lee University, USA
WILLI SEMMLER Professor at the Department of Economics at The New School, New York, USA
YANNICK DESIRE TANGMAN PhD student in Mathematics at the University of Mauritius
CHRISTIAN THOMANN Senior Research Fellow at the Center for Risk and Insurance at the Leibniz University in Hannover, Germany


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