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 testing for the efficiency of markets both theoretically and empirically.

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