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

Edited by Greg N. Gregoriou and Razvan Pascalau

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2011
ISBN: 978-0-230-29520-9
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Chapters in this book:

Ch 1 The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives

Willi Semmler and Raphaële Chappe

Ch 2 Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees

Tom Arnold, Timothy Falcon Crack and Adam Schwartz

Ch 3 Pricing Toxic Assets

Carolyn Currie

Ch 4 A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes

Yannick Desire Tangman, Ravindra Boojhawon, Ashvin Gopaul and Muddun Bhuruth

Ch 5 Unconditional Mean, Volatility, and the FOURIER-GARCH Representation

Razvan Pascalau, Christian Thomann and Greg N. Gregoriou

Ch 6 Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case

Mohamed El-Hedi Arouri and Fredj Jawadi

Ch 7 A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity

Matteo Modena

Ch 8 On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure

Andrew Hughes Hallett and Christian Richter

Ch 9 Continuous and Discrete Time Modeling of Short-Term Interest Rates

Chih-Ying Hsiao and Willi Semmler

Ch 10 Testing the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities

Sam Hakim and Simon Neaime

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DOI: 10.1057/9780230295209

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