Asset Pricing

Modeling and Estimation

Häftad, Engelska, 2010

Av B.Philipp Kellerhals, B. Philipp Kellerhals

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Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives.Integrates the latest research and includes a new chapter on financial modeling.

Produktinformation

Utgivningsdatum2010-12-06
Mått155 x 235 x 15 mm
Vikt400 g
FormatHäftad
SpråkEngelska
SerieSpringer Finance
Antal sidor243
Upplaga2
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642058790

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Offentliga sektorn inom Ekonomi och ledarskap
Nationalekonomi inom Ekonomi och ledarskap
Mikroekonomi inom Ekonomi och ledarskap

I Asset Pricing Framework.- 1 Financial Modeling.- 2 Estimation Principles.- II Pricing Equities.- 3 Introduction and Survey.- 4 Valuation Model.- 5 First Empirical Results.- 6 Implications for Investment Strategies.- 7 Summary and Conclusions.- III Pricing Fixed-Income Securites.- 8 Introduction and Survey.- 9 Term Structure Model.- 10 Initial Characteristic Results.- 11 Risk Management and Derivatives Pricing.- 12 Calibration to Standard Instruments.- 13 Summary and Conclusions.- IV Pricing Electricity Forwards.- 14 Introduction and Survey.- 15 Electricity Pricing Model.- 16 Empirical Inference.- 17 Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.

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)