Asset Pricing

Modeling and Estimation

B. Philipp Kellerhals - Collection Springer Finance

244 pages, parution le 20/04/2004

Ajouter à une liste

Indisponible

Résumé

The modern field of asset pricing asks for sound pricing models grounded on the theory of financial economics as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. This book provides a canonical framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data inevitably only available at discrete-time intervals. Starting with a comprehensive treatment of the particular stochastic modeling and econometric estimation framework, the main parts of the book cover applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. The second edition newly incorporates the financial modeling chapter which elaborates on the vital PDE- and EMM-approaches. The reorganized and improved text further integrates the latest research contributions in the three covered application fields.

Written for:
Researchers, practitioners

Sommaire

Asset Pricing Framework
- Financial Modeling
- Estimation Principles
Pricing Equities: Introduction and Survey
- Valuation Model
- First Empirical Results
- Implications for Investment Strategies
- Summary and Conclusions
Pricing Fixed-Income Securities
- Introduction and Survey
- Term Structure Model
- Initial Characteristic Results
- Risk Management and Derivates Pricing
- Calibration to Standard Instruments
- Summary and Conclusions
Pricing Electricity Forwards:
- Introduction and Survey
- Electricity Pricing Model
- Empirical Inference
- Summary and Conclusions
- List of Symbols and Notation
- List of Tables
- List of Figures
- References
- Index

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	B. Philipp Kellerhals
Collection	Springer Finance
Parution	20/04/2004
Nb. de pages	244
Format	16 x 24
Couverture	Relié
Poids	500g
Intérieur	Noir et Blanc
EAN13	9783540208532