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Asset Pricing

  • Fester Einband
  • 260 Seiten
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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 accur... Weiterlesen
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Beschreibung

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)



Klappentext

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.



Inhalt
I Asset Pricing Framework.- 1 Financial Modeling.- 1.1 Continuous-Time Stochastics.- 1.1.1 Stochastic Processes and Brownian Motion.- 1.1.2 Martingales, Itô Calculus, and Changes of Measure.- 1.2 Arbitrage Pricing in Continuous Time.- 1.2.1 PDE Approach.- 1.2.2 EMM Approach.- 2 Estimation Principles.- 2.1 State Space Notation.- 2.2 Filtering Algorithms.- 2.2.1 Filtering Objective.- 2.2.2 Optimal Estimator.- 2.2.3 Filter Recursions.- 2.2.4 Extended Kalman Filtering.- 2.3 Parameter Estimation.- II Pricing Equities.- 3 Introduction and Survey.- 3.1 Opening Remarks.- 3.2 Closed-End Funds: Survey and Hypotheses.- 4 Valuation Model.- 4.1 Characteristics of Closed-End Funds.- 4.2 Economic Foundation.- 4.3 Pricing Closed-End Fund Shares.- 5 First Empirical Results.- 5.1 Sample Data.- 5.2 Implemented Model.- 5.3 State Space Form.- 5.4 Closed-End Fund Analysis.- 6 Implications for Investment Strategies.- 6.1 Testing the Forecasting Power.- 6.1.1 Setup of Forecasting Study.- 6.1.2 Evidence on Forecasting Quality.- 6.2 Implementing Trading Rules.- 6.2.1 Experimental Design.- 6.2.2 Test Results on Trading Strategies.- 7 Summary and Conclusions.- III Pricing Fixed-Income Securites.- 8 Introduction and Survey.- 8.1 Overview.- 8.2 Bond Prices and Interest Rates.- 8.3 Dynamic Term Structure Models.- 9 Term Structure Model.- 9.1 Modeling an Incomplete Market.- 9.2 Motivation for a Stochastic Risk Premium.- 9.3 Economic Model.- 10 Initial Characteristic Results.- 10.1 Valuing Discount Bonds.- 10.2 Term Structures of Interest Rates and Volatilities.- 10.2.1 Spot and Forward Rate Curves.- 10.2.2 Term Structure of Volatilities.- 10.3 Analysis of Limiting Cases.- 10.3.1 Reducing to an Ornstein-Uhlenbeck Process.- 10.3.2 Examining the Asymptotic Behavior.- 10.4 Possible Shapes of the Term Structures.- 10.4.1 Influences of the State Variables.- 10.4.2 Choosing the Model Parameters.- 11 Risk Management and Derivatives Pricing.- 11.1 Management of Interest Rate Risk.- 11.2 Pricing Interest Rate Derivatives.- 11.2.1 Bond Options.- 11.2.2 Swap Contracts.- 11.2.3 Interest Rate Caps and Floors.- 12 Calibration to Standard Instruments.- 12.1 Estimation Techniques for Term Structure Models.- 12.2 Discrete Time Distribution of the State Variables.- 12.3 US Treasury Securities.- 12.3.1 Data Analysis.- 12.3.2 Parameter Estimation.- 12.3.3 Analysis of the State Variables.- 12.4 Other Liquid Markets.- 12.4.1 Appropriate Filtering Algorithm.- 12.4.2 Sample Data and Estimation Results.- 13 Summary and Conclusions.- IV Pricing Electricity Forwards.- 14 Introduction and Survey.- 14.1 Overview.- 14.2 Commodity Futures Markets.- 14.3 Pricing Commodity Futures.- 14.4 Asset Pricing in Electricity Markets.- 15 Electricity Pricing Model.- 15.1 Model Assumptions and Risk-Neutral Pricing.- 15.2 Valuation of Electricity Forwards.- 16 Empirical Inference.- 16.1 Estimation Model.- 16.1.1 Distribution of the State Variables.- 16.1.2 State Space Formulation and Kalman Filter Setup.- 16.2 Data Analysis and Estimation Results.- 17 Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.

Produktinformationen

Titel: Asset Pricing
Untertitel: Modeling and Estimation
Autor:
EAN: 9783540208532
ISBN: 3540208534
Format: Fester Einband
Herausgeber: Springer Berlin Heidelberg
Genre: Allgemeines & Lexika
Anzahl Seiten: 260
Gewicht: 559g
Größe: H241mm x B160mm x T20mm
Jahr: 2004
Auflage: 2nd ed. 2004

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