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Asset Pricing : Modeling and Estimation - B.Philipp Kellerhals

Asset Pricing

Modeling and Estimation

Hardcover

Published: 6th April 2004
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  • Paperback View Product Published: 6th December 2010
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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.

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 modelingp. 3
Estimation principlesp. 21
Pricing equities
Introduction and surveyp. 43
Valuation modelp. 49
First empirical resultsp. 59
Implications for investment strategiesp. 75
Summary and conclusionsp. 85
Pricing fixed-income securites
Introduction and surveyp. 89
Term structure modelp. 97
Initial characteristic resultsp. 105
Risk management and derivatives pricingp. 127
Calibration to standard instrumentsp. 143
Summary and conclusionsp. 169
Pricing electricity forwards
Introduction and surveyp. 173
Electricity pricing modelp. 187
Empirical inferencep. 195
Summary and conclusionsp. 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): 1.21
Edition Number: 2
Edition Type: Revised