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Books on the topic 'Term Structure Derivatives Pricing'

Author: Grafiati

Published: 29 September 2021

Last updated: 30 July 2025

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1

Gregoriou, Greg N., and Razvan Pascalau, eds. Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models. Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230295209.

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2

Knight, John L. Pricing interest rate derivatives in a non-parametric two-factor term-structure model. Bank of Canada, 1999.

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3

Nielsen, Lars Tyge. Exchange rate and term structure dynamics and the pricing of derivative securities. INSEAD, 1992.

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4

Schmid, Bernd. Credit risk pricing models: Theory and practice. 2nd ed. Springer, 2010.

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5

Marsh, Terry A. Asset pricing model specification and the term structure evidence. Massachusetts Institute of Technology, Alfred P. Sloan School of Management, 1985.

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6

Huang, Ting-Ting. Theoretical and empirical analysis of common factors in a term structure model. Cambridge Scholars Pub., 2009.

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7

Santini, Amia. Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives. Springer Fachmedien Wiesbaden, 2022. http://dx.doi.org/10.1007/978-3-658-37450-1.

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8

Carey, Mary, and Cathy Knowles. Accounting. 4th ed. Oxford University Press, 2020. http://dx.doi.org/10.1093/hebz/9780198844808.001.0001.

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Abstract Accounting is made up of two main parts. Part One covers financial accounting. It starts off by looking at the cash budget. It then moves on to the statement of profit or loss. It also looks at balancing the basics. It then turns to company finance and accounts. It also considers the capital structure and investment ratios. The second part is about management accounting. This part discusses costs and break-even analysis, absorption and activity-based costing, and budgeting. It also examines pricing and costs, short-term decision making, investment appraisal techniques, and measuring a

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9

Financial econometrics modeling: Derivatives pricing, hedge funds and term structure models. Palgrave Macmillan, 2011.

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10

Gregoriou, G., and R. Pascalau. Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models. Palgrave Macmillan, 2010.

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11

N, Gregoriou Dr Greg, and Razvan Pascalau. Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models. Palgrave Macmillan, 2010.

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12

Gregoriou, G., and R. Pascalau. Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models. Palgrave Macmillan, 2011.

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13

Sufana, Razvan Dorin. Modelling multivariate risk: Applications to term structure and derivative pricing. 2006.

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14

Schmid, Bernd. Credit Risk Pricing Models: Theory and Practice. Springer, 2012.

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15

Asset Pricing Implications of the Volatility Term Structure. [publisher not identified], 2015.

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16

author, Caspers Peter, ed. Interest rate derivatives explained: Term structure and volatility modelling. Palgrave Macmillan, 2017.

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17

Marsh, Terry A. Capital Asset Pricing Model Tests in a Term Structure Context. Creative Media Partners, LLC, 2018.

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18

Caspers, Peter, and Jörg Kienitz. Interest Rate Derivatives Explained : Volume 2: Term Structure and Volatility Modelling. Palgrave Macmillan, 2018.

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19

Santini, Amia. Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives. Springer Fachmedien Wiesbaden GmbH, 2022.

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20

Tunaru, Radu S. A Review of Real-Estate Indices. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198742920.003.0002.

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This chapter presents the main real-estate indices used worldwide for investment purposes and on which derivatives contracts are very likely to be issued. It is important to know the type of real-estate index based on the method of construction. The chapter contains a description of the main real-estate indices used in real-estate derivatives contracts, indices that are built using various methodologies such as hedonic, repeat sales, appraisal, or transaction based. Themethod of construction of the real-estate index should be taken into consideration when modelling the real-estate indices. The

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21

Penick, Michael A. Energy. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0009.

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This chapter discusses the development and structure of energy cash and futures markets, along with current regulatory issues. It begins by discussing common features of energy markets: energy markets are characterized by inelastic short- and medium-term demand curves in which demand decreases rather slowly as prices increase. It then discusses the energy markets with actively traded benchmark futures contracts as well as the development of over-the-counter (OTC) derivatives that can be used by end users in conjunction with futures contracts to refine their hedges. The chapter concludes with a

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22

Cole, Harold L. Finance and Financial Intermediation. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190941697.001.0001.

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Finance and financial intermediation are central to modern economies. This book covers all of the material a sophisticated economist needs to know about this area. It begins with an overview of financial markets and their operation. It then covers asset pricing for standard assets and derivatives, and analyses what modern finance says about firm behaviour and capital structure. The book covers money, exchange rates, electronic payments methods, and cryptocurrencies. The book then covers financial intermediation. The book then examines the role played by finance and financial intermediation in

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