Derivative securities pricing and modelling / edited by Jonathan A. Batten, Niklas Wagner.

Includes bibliographical references and index.

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

pt. I: Advances in derivatives and economic stability -- Derivaties securities pricing and modelling / Jonathan A. Batten, Niklas Wagner -- On the role of option applications in economic instability / Kavous Ardalen -- Derivatives, commodities, and social costs: exploring correlation in economic uncertainty / Aleksandr V. Gevorkyan, Arkady Gevorkyan -- Contingent captial securities: problems and solutions / Michalis Ioannides, Frank S. Skinner -- High dimensionality in finance: a graph-theory analysis / Delphine Lautier, Franck Raynaud -- part II: Derivatives prices and risk-neutral distributions -- Recovering stochastic processes from option prices / Jens Carsten Jackwerth, Mark Rubinstein -- The pricing kernel puzzle: reconciling index option data and economic theory / David P. Brown, Jens Carsten Jackwerth -- Risk-neutral densities and catastrophe events / Michael Herold, Matthias Muck -- part III: Derivatives models and model performance -- Non-Gaussian price dynamics and implications for option pricing / Miguel Angel Fuentes, Austin Gerig, Javier Vicente -- On the empirical behavior of stochasic volatility models: do skewness and kurtosis matter? -- Re-evaluating hedging performance for asymmetry: the case of crude oil / John Cotter, Jim Hanly -- On the binomial-tree approach to convertible bonds pricing and risk assessment / Krasimir Milanov, Ognyan Kounchev -- part IV: Derivatives models, risk management, credit and corporate control -- A new paradigm for inflation derivatives modeling -- An option-pricing framework for the valuation of fund management compensation / Axel Buchner, Abdulkadir Mohamed, Niklas Wagner -- An equity-based credit risk model / Gaia Barone -- Business cycles and the impact of macroeconomic surprises on interest rate swap spreads: Australian evidence / Victor Fang, A.S.M. Sohel Azad, Jonathan A. Batten, Chien-Ting Lin -- The evolution of the use of derivatives in Slovenian non-financial companies / Ales Berk Skok, Igor Loncarski, Matevz Skocir.