Overview

This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, new products and market features.

Particular Themes

Particular themes encompass:

• continuous and discrete time modeling
• statistical arbitrage models
• arbitrage-free pricing, risk-neutral implied densities
• equilibrium pricing approaches (including e.g. co-integration)
• applications of methods in computational statistics including simulation
• computationally intense techniques for pricing, estimation and backtesting
• complex derivative products
• credit and counterparty risk
• innovative market and product structures