Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
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 test
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Copyright material from www.palgraveconnect.com - licensed to npg - PalgraveConnect - 2016-04-22
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
10.1057/9780230295209preview - Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, Edited by Greg N. Gregoriou and Razvan Pascalau
GREGORIOU: “FM” — 2010/11/10 — 20:45 — PAGE i — #1
Also by Greg N. Gregoriou and Razvan Pascalau FINANCIAL ECONOMETRICS MODELING: Market Microstructure, Factor Models and Financial Risk Measures NONLINEAR FINANCIAL ECONOMETRICS: Markov Switching Models, Persistence and Nonlinear Cointegration
Copyright material from www.palgraveconnect.com - licensed to npg - PalgraveConnect - 2016-04-22
NONLINEAR FINANCIAL ECONOMETRICS: Forecasting Models, Computational and Bayesian Models
10.1057/9780230295209preview - Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, Edited by Greg N. Gregoriou and Razvan Pascalau
GREGORIOU: “FM” — 2010/11/10 — 20:45 — PAGE ii — #2
Edited by
Greg N. Gregoriou Professor of Finance, State University of New York (Plattsburgh) Research Associate EDHEC Business School, Nice, France and
Razvan Pascalau Assistant Professor of Economics, State University of New York (Plattsburgh)
Copyright material from www.palgraveconnect.com - licensed to npg - PalgraveConnect - 2016-04-22
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
10.1057/9780230295209preview - Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, Edited by Greg N. Gregoriou and Razvan Pascalau
GREGORIOU: “FM” — 2010/11/10 — 20:45 — PAGE iii — #3
Selection and editorial matter © Greg N. Gregoriou and Razvan Pascalau 2011 Individual chapters © respective contributors 2011 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission.
Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published in 2011 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN: 978–0–230–28363–3 hardback This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to
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