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

by Gregoriou, Greg N.; Pascalau, Razvan

• ISBN13: 9780230283633
• ISBN10: 0230283632
• Format: Hardcover
• Copyright: 2011-01-15
• Publisher: Palgrave Macmillan

Summary

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.

Author Biography

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, more than 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures. Razvan Pascalau is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

Table of Contents

List of Tables	p. vii
List of Figures	p. ix
Acknowledgments	p. xi
About the Editors	p. xii
Notes on Contributors	p. xiii
Chapter Abstracts	p. xix
Derivatives Pricing and Hedge Funds
The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives	p. 3
Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees	p. 35
Pricing Toxic Assets	p. 53
A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes	p. 70
Unconditional Mean, Volatility, and the FOURIER-GARCH Representation	p. 90
Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case	p. 107
Term Structure Models
A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity	p. 121
On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure	p. 147
Continuous and Discrete Time Modeling of Short-Term Interest Rates	p. 163
Testing the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities	p. 188
Index	p. 203
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