Synopses & Reviews
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.
About the Author
GREG N. GREGORIOU is Professor of Finance at State University of New York (Plattsburgh), USA. He has published 41 books, over 60 refereed publications and 22 book chapters. He obtained his joint Ph.D. in Finance at the University of Quebec at Montreal.
RAZVAN PASCALAU is assistant professor of Economics at State Uiversity of New York (Plattsburgh), USA. He graduated with a PhD in Economics and MSc in Finance from the University of Alabama. His primary field of interest is Applied Time Series Econometrics.
Table of Contents
PART I: DERIVATIVES PRICING AND HEDGE FUNDS
The Operation of Hedge Funds--Econometric Evidence, Dynamic 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
PART II: TERM STRUCTURE MODELS
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