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

1. Front Matter

   Pages i-xxiii

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2. Derivatives Pricing and Hedge Funds

   1. Front Matter

      Pages 1-1

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   2. The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives

      • Willi Semmler, Raphaële Chappe

      Pages 3-34

   3. Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees

      • Tom Arnold, Timothy Falcon Crack, Adam Schwartz

      Pages 35-52

   4. Pricing Toxic Assets

      • Carolyn V. Currie

      Pages 53-69

   5. A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes

      • Yannick Desire Tangman, Ravindra Boojhawon, Ashvin Gopaul, Muddun Bhuruth

      Pages 70-89

   6. Unconditional Mean, Volatility, and the FOURIER-GARCH Representation

      • Razvan Pascalau, Christian Thomann, Greg N. Gregoriou

      Pages 90-106

   7. Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case

      • Mohamed El-Hedi Arouri, Fredj Jawadi

      Pages 107-118

3. Term Structure Models

   1. Front Matter

      Pages 119-119

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   2. A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity

      • Matteo Modena

      Pages 121-146

   3. On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure

      • Andrew Hughes Hallett, Christian Richter

      Pages 147-162

   4. Continuous and Discrete Time Modeling of Short-Term Interest Rates

      • Chih-Ying Hsiao, Willi Semmler

      Pages 163-187

   5. Testing the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities

      • Sam Hakim, Simon Neaime

      Pages 188-202

4. Back Matter

   Pages 203-206

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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.

• derivatives
• econometrics
• efficiency
• Option Prices
• Options
• probability
• volatility
• investments and securities

• State University of New York, Plattsburgh, USA

  Greg N. Gregoriou, Razvan Pascalau

• Research Associate EDHEC Business School, Nice, France

  Greg N. Gregoriou

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 Professorand 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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