EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC-Risk IEIF Commercial Property Indices Hedge Fund Index Research Equity Index Research Amundi ETF "Core-Satellite and ETF Investment" Research Chair EDHEC-Risk Institute Solvency II Benchmarks ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Newedge "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II" Research Chair Non-Financial Risks, Regulation and Innovations Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute "Investing in Smart Beta" European Seminar Series: Stockholm (17 June, 2013), Oslo (18 June, 2013), Helsinki (19 June, 2013) "Investing in Smart Beta" European Seminar Series: Vienna (28 June, 2013) "Investing in Smart Beta" North American Seminar Series: San Francisco (2 July, 2013) "Investing in Smart Beta" European Seminar Series: Zurich (4 July, 2013) "Investing in Smart Beta" European Seminar Series: London (10 July, 2013) "Smart Beta 2.0" North American Seminar Series: Boston (9 July, 2013), New York (10 July, 2013), Toronto (11 July, 2013), San Francisco (23 July, 2013) "Investing in Smart Beta" Middle-East Seminar Series: Doha (11 September, 2013), Dubai (12 September, 2013) EDHEC-Risk Days North America 2013, New York, 8-9 October, 2013 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Investment Management Seminars CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, New York, 16-18 July, 2013 Execution and Trading on Equity Markets - The New Landscape Seminar, Singapore, 31 July, 2013 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta
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.