Economic Foundation of Asset Price Processes

Häftad, Engelska, 2004

1 379 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed.

Produktinformation

Utgivningsdatum2004-02-03
Mått155 x 235 x 8 mm
Vikt206 g
FormatHäftad
SpråkEngelska
SerieZEW Economic Studies
Antal sidor121
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783790801491

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
Mikroekonomi inom Ekonomi och Ledarskap

1 Introduction.- 2 Arbitrage-Free Markets and the Pricing Kernel.- 2.1 Implications of Arbitrage-Free Markets.- 2.2 The Representative Agent Economy.- 2.3 Summary of Chapter 2.- 3 The Information Process.- 3.1 Characterization of the Economy.- 3.2 Complete Information and Constant Coefficients of the Book Value Process.- 3.3 Complete Information and Random Coefficients of the Book Value Process.- 3.4 Unknown Drift of the Book Value Process.- 3.5 Summary of Chapter 3.- 4 Literature Review.- 4.1 Empirical Literature.- 4.2 Theoretical Literature.- 4.3 Summary of Chapter 4.- 5 Asset Returns with Non-Constant Elasticity of the Pricing Kernel.- 5.1 Implications for Asset Returns in Continuous-Time.- 5.2 Implications for Asset Returns in Discrete-Time.- 5.3 The Explanatory Power of Multiples.- 5.4 Summary of Chapter 5.- 6 Analytical Asset Price Processes.- 6.1 A New Class of Pricing Kernels.- 6.2 HARA-Preferences.- 6.3 Summary of Chapter 6.- 7 Asset Returns Given Stochastic Volatility of the Information Process.- 7.1 The Model.- 7.2 Summary of Chapter 7.- 8 Summary.- A Appendix.- A.1 Theorem of Feynman-Kac.- A.2 Lemma 2 of Decamps and Lazrak.- A.3 Technical Discussion of Viability in Two-Factor Models.- A.4 Proof of Lemma 1.- A.5 Proof of Corollary 1.- A.6 Proof of Proposition 4.- A.7 Derivation of Equation 6.3.- A.8 Proof of Proposition 8.- A.9 Derivation of Equation 6.17.- A.10 Proof of Corollary 2.- A.11Proof of Proposition 9.- A.12 Proof of Proposition 10.- B Appendix: Figures.- References.