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

  • Greg N. Gregoriou
  • Razvan Pascalau

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Derivatives Pricing and Hedge Funds

    1. Front Matter
      Pages 1-1
    2. Carolyn V. Currie
      Pages 53-69
    3. Yannick Desire Tangman, Ravindra Boojhawon, Ashvin Gopaul, Muddun Bhuruth
      Pages 70-89
    4. Razvan Pascalau, Christian Thomann, Greg N. Gregoriou
      Pages 90-106
  3. Term Structure Models

  4. Back Matter
    Pages 203-206

About this book

Introduction

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.

Keywords

derivatives econometrics efficiency Option Prices Options probability volatility

Editors and affiliations

  • Greg N. Gregoriou
    • 1
    • 2
  • Razvan Pascalau
    • 1
  1. 1.State University of New YorkPlattsburghUSA
  2. 2.Research Associate EDHEC Business SchoolNiceFrance

Bibliographic information

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