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Financial econometrics modeling

[NT 42944] Record Type:	[NT 8598] Electronic resources : [NT 40817] monographic
[NT 47353] Alternative Intellectual Responsibility:	GregoriouGreg N., 1956-
[NT 47353] Alternative Intellectual Responsibility:	PascalauRazvan.,
[NT 47356] Secondary Intellectual Responsibility:	Palgrave Connect (Online service)
[NT 47351] Place of Publication:	Basingstoke
[NT 47263] Published:	Palgrave Macmillan;
[NT 47352] Year of Publication:	2011
[NT 47264] Description:	1 v. ;22 cm.;
[NT 47266] Subject:	Econometrics. -
[NT 47266] Subject:	Finance - Mathematical models. -
[NT 47266] Subject:	Financial risk management - Mathematical models. -
[NT 51458] Online resource:	http://www.palgraveconnect.com/doifinder/10.1057/9780230295209An electronic book accessible through the World Wide Web; click for information
[NT 51398] Summary:	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.
[NT 50961] ISBN:	9780230295209electronic bk.
[NT 50961] ISBN:	0230295207electronic bk.
[NT 60779] Content Note:	The Operation of Hedge Funds - Econometric Evidence, Dyclmic 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.

Financial econometrics modeling
Financial econometrics modeling / edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke : Palgrave Macmillan, 2011. - 1 v. ; ; 22 cm..
The Operation of Hedge Funds - Econometric Evidence, Dyclmic Modeling and Regulatory Tasks / W.Semmler & R.Chappe.
ISBN 9780230295209ISBN 0230295207
Econometrics.FinanceFinancial risk management -- Mathematical models. -- Mathematical models.

Gregoriou, Greg N.

Financial econometrics modeling
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327 1 $a The Operation of Hedge Funds - Econometric Evidence, Dyclmic Modeling and Regulatory Tasks / W.Semmler & R.Chappe $a Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees / T.Arnold, T.Falcon Crack & A.Schwartz $a Pricing the Derivatives of Derivatives using Toxic Assets as an Example / C.V.Currie $a A General Efficient Framework For Pricing Options Using Exponential Time Integration Schemes / M.Bhuruth, R.Boojhawon, A.Gopaul & Y.Desire Tangman $a GARCH / R.Pascalau, C.Thomann & G.N.Gregoriou $a Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case / M.El-Hedi Arouri & F.Jawadi $a Latent Factors of the Term Structure: a Macroeconomic Interpretation of Curvature / M.Modena $a The Econometrics of Testing for Efficiency in the Financial Markets / A.Hughes Hallett & C.Richter $a Interest Rate Models: Continuous and Discrete Time / C.-Y. Hsiao & W.Semmler $a Does the Expectations Hypothesis Hold in Emerging Markets? An Application to the Middle East Treasury Securities / S.Hakim & S.Neave.
330 $a 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.
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606 $a Financial risk management $x Mathematical models. $2 lc $3 275579
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856 4 0 $3 Palgrave Connect $u http://www.palgraveconnect.com/doifinder/10.1057/9780230295209 $z An electronic book accessible through the World Wide Web; click for information