B. Philipp Kellerhals

Asset Pricing (eBook, PDF)

Modeling and Estimation

• Format: PDF

Produktbeschreibung

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.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 243
• Erscheinungstermin: 2. November 2012
• Englisch
• ISBN-13: 9783540246978
• Artikelnr.: 53289448

Inhaltsangabe

I Asset Pricing Framework.- 1 Financial Modeling.- 2 Estimation Principles.- II Pricing Equities.- 3 Introduction and Survey.- 4 Valuation Model.- 5 First Empirical Results.- 6 Implications for Investment Strategies.- 7 Summary and Conclusions.- III Pricing Fixed-Income Securites.- 8 Introduction and Survey.- 9 Term Structure Model.- 10 Initial Characteristic Results.- 11 Risk Management and Derivatives Pricing.- 12 Calibration to Standard Instruments.- 13 Summary and Conclusions.- IV Pricing Electricity Forwards.- 14 Introduction and Survey.- 15 Electricity Pricing Model.- 16 Empirical Inference.- 17 Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.

Rezensionen

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)