Items related to Asset Pricing: Modeling and Estimation (Springer Finance)
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.
Integrates the latest research and includes a new chapter on financial modeling.
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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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- PublisherSpringer
- Publication date2010
- ISBN 10 3642058795
- ISBN 13 9783642058790
- BindingPaperback
- Number of pages257
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Asset Pricing: Modeling and Estimation (Springer Finance)
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Asset Pricing : Modeling and Estimation
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Asset Pricing
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Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 260 pp. Englisch. Seller Inventory # 9783642058790
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Asset Pricing
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Book Description Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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. |The modern field of asset pricing asks for sound pri. Seller Inventory # 5045008
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Book Description Condition: New. pp. 260 2nd Edition. Seller Inventory # 263077655
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Asset Pricing : Modeling and Estimation
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Book Description Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - The modern field of asset pricing asks for sound pricing models grounded on the theory of financial economies a la Ingersoll (1987) as weIl as for accu rate estimation techniques a la Hamilton (1994b) when it comes to empirical inferences of the specified model. The idea behind this book on hand is to provide the reader with 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. Three major financial markets are to be examined for which we select the equity market, the bond market, and the electricity market. In each mar ket we derive new valuation models to price selected financial instruments in continuous-time. The decision criterium for choosing a continuous-time model ing framework is the richness of the stochastic theory available for continuous time processes with Merton's pioneering contributions to financial economics, collected in Merton (1992). The continuous-time framework, reviewed and as sessed by Sundaresan (2000), allows us to obtain analytical pricing formulae that would be unavailable in a discrete time setting. However, at the time of implementing the derived theoretical pricing models on market data, that is necessarily sampled at discrete time intervals, we work with so-called exact discrete time equivalents a la Bergstrom (1984). We show how to conveniently work within astate space framework which we derive in a general setting as weIl as explicitly for each of the three applications. Seller Inventory # 9783642058790
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Book Description Condition: New. Print on Demand pp. 260 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Seller Inventory # 5851592
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