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.

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Produktdetails

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

Autorenporträt

B.Philipp Kellerhals, Deutscher Investment Trust, Frankfurt am Main

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)