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Hardcover
Published: 6th April 2004
ISBN: 9783540208532
Number Of Pages: 243
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Published: 6th December 2010The 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.
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)
| 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. |
ISBN: 9783540208532
ISBN-10: 3540208534
Series: Springer Finance
Audience:
Professional
Format:
Hardcover
Language:
English
Number Of Pages: 243
Published: 6th April 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.5 x 15.5
x 1.91
Weight (kg): 0.49
Edition Number: 2
Edition Type: Revised
