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

Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan
Pages: 206 pages
Date: December 2010
 
 
 
Summary
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, the book considers new models for hedge funds and derivatives of derivatives, shows how to use option prices to infer about risk-averse probability distributions, and adds to the literature of testing for the efficiency of markets both theoretically and empirically. The empirical applications concern examples to both developed and emerging financial markets.

In addition, the book proposes a new general efficient framework for pricing options using time integration schemes and highlights nonlinear financial integration modeling.

Finally, the book provides a macroeconomic interpretation of the curvature using latent factors of the term structure.

Greg N. Gregoriou, Research Associate with EDHEC-Risk Institute, contributed a chapter to the publication entitled "Unconditional Mean, Volatility, and the Fourier-GARCH Representation", co-authored with Razvan Pascalau and Christian Thomann. This chapter proposes a new model called Fourier-GARCH which is a modification of the popular GARCH(1,1). This modification allows for time-varying first and second moments via means of flexible Fourier transforms.

About the Editors:

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC-Risk Institute, 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.