Asset Pricing

Modeling and Estimation

By: B.Philipp Kellerhals

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Hardcover | 6 April 2004 | Edition Number 2

At a Glance

Hardcover
264 Pages

Edition Type
Revised

Dimensions(cm)
23.5 x 15.24 x 1.91

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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.

Industry Reviews

From the reviews of the second edition:

"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. ... The reorganized and improved text further integrates the latest research contributions in three covered application fields: equities with closed funds, fixed-income products and electricity derivatives." (T. Postelnicu, Zentralblatt MATH, Vol. 1086, 2006)

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Investment & Securities Economics Econometrics Public Accounting in Finance Tax & Taxation Mathematics Applied Mathematics Optimisation Game Theory

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Paperback

Published: 6th December 2010

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Asset pricing framework
Financial modeling	p. 3
Estimation principles	p. 21
Pricing equities
Introduction and survey	p. 43
Valuation model	p. 49
First empirical results	p. 59
Implications for investment strategies	p. 75
Summary and conclusions	p. 85
Pricing fixed-income securites
Introduction and survey	p. 89
Term structure model	p. 97
Initial characteristic results	p. 105
Risk management and derivatives pricing	p. 127
Calibration to standard instruments	p. 143
Summary and conclusions	p. 169
Pricing electricity forwards
Introduction and survey	p. 173
Electricity pricing model	p. 187
Empirical inference	p. 195
Summary and conclusions	p. 215
Table of Contents provided by Blackwell. All Rights Reserved.

Asset Pricing

Modeling and Estimation

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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