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Asset Pricing: Modeling and Estimation (Springer Finance) - Hardcover
Book 38 of 53: Springer Finance
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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.
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From the Back Cover
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.
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Asset Pricing: Modeling and Estimation.
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Asset pricing: Modeling and Estimation
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Hardcover. Condition: As New. Leichte Kratzer / Abnutzungen / Druckstellen. The modern field of asset pricing seeks robust models based on financial economic theory and accurate estimation techniques for empirical analysis. This work aims to provide a framework that connects continuous-time pricing practices in financial engineering with capital market data, which is typically available only at discrete intervals. The focus is on three major financial markets: equity, bond, and electricity. For each market, new valuation models are developed to price selected financial instruments in continuous time. The choice of a continuous-time modeling framework is influenced by the extensive stochastic theory available for continuous processes, particularly Merton's contributions to financial economics. This framework enables the derivation of analytical pricing formulas that are not possible in a discrete time setting. However, when applying these theoretical models to market data sampled at discrete intervals, we utilize exact discrete time equivalents. The work demonstrates how to effectively operate within a state space framework, derived in a general context and specifically tailored for each of the three markets. Seller Inventory # fbc3c9ca-a767-4d5a-9236-e9e305e31e65
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Asset Pricing
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Buch. 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 # 9783540208532
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Asset Pricing
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Gebunden. 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 # 4884874
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Asset Pricing : Modeling And Estimation
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Asset Pricing : Modeling and Estimation
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Buch. 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 # 9783540208532