Asset Pricing
Modeling and Estimation
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Beschreibung
This updated second edition provides a framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data from discrete-time intervals. Starting with a comprehensive treatment of the particular stochastic modeling and econometric estimation framework, the main part of the book covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. The second edition includes a new chapter on financial modeling which discusses vital PDE- and EMM-approaches. The reorganized and improved text further integrates the latest research contributions in the three covered application fields.
Autor*in
B.Philipp Kellerhals
Themen in »Asset Pricing«
Asset Pricing Closed-End Funds Continuous-Time Financial Market Models Derivate Electricity Derivatives Financial Modeling Funds Investment Kalman Filtering Stochastic model Term Structure Models modeling quantitative finance
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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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