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

Part I. Derivatives Pricing and Hedge Funds

1. The Operation of Hedge Funds: Econometric Evidence, Dynamic Modeling, and Regulatory Perspectives
Willi Semmler, Raphaële Chappe

2. Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees
Tom Arnold, Timothy Falcon Crack, Adam Schwartz

3. Pricing Toxic Assets
Carolyn V. Currie

4. A General Efficient Framework for Pricing Options Using Exponential Time Integration Schemes
Yannick Desire Tangman, Ravindra Boojhawon, Ashvin Gopaul, Muddun Bhuruth

5. Unconditional Mean, Volatility, and the FOURIER-GARCH Representation
Razvan Pascalau, Christian Thomann, Greg N. Gregoriou

6. Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case
Mohamed El-Hedi Arouri, Fredj Jawadi

Part II. Term Structure Models

7. A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity
Matteo Modena

8. On the Efficiency of Capital Markets: An Analysis of the Short End of the UK Term Structure
Andrew Hughes Hallett, Christian Richter

9. Continuous and Discrete Time Modeling of Short-Term Interest Rates
Chih-Ying Hsiao, Willi Semmler

10. Testing the Expectations Hypothesis in the Emerging Markets of the Middle East: An Application to Egyptian and Lebanese Treasury Securities
Sam Hakim, Simon Neaime

Avainsanat: Economics, Econometrics, Business Mathematics, Accounting/Auditing, Business Finance, Investments and Securities, Management