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Peter StarkIt's hard to believe that 200 years ago, the Pacific Northwest was one of the most remote and isolated regions in the world. In 1810, four years... Continue »
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Asset Pricing: Modeling and Estimation

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Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

Synopsis:

The modern field of asset pricing requires the use of sound pricing models grounded on the theory of financial economics. This book provides a framework that integrates the continuous-time pricing practice in financial engineering and capital market data that is only available at discrete-time intervals. Starting with a comprehensive treatment of 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 incorporates recent research in this area of financial modeling.

Table of Contents

Asset Pricing Framework: Financial Modeling.- Estimation Principles.- Pricing Equities: Introduction and Survey.- Valuation Model.- First Empirical Results.- Implications for Investment Strategies.- Summary and Conclusions.- Pricing Fixed-Income Securities: Introduction and Survey.- Term Structure Model.- Initial Characteristic Results.- Risk Management and Derivates Pricing.- Calibration to Standard Instruments.- Summary and Conclusions.- Pricing Electricity Forwards: Introduction and Survey.- Electricity Pricing Model.- Empirical Inference.- Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.- Index.

Product Details

ISBN:
9783540208532
Author:
Kellerhals, B. Philipp
Publisher:
Springer
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Econometrics
Subject:
Economics - General
Subject:
Closed-end funds
Subject:
Continuous-Time Financial Market Models
Subject:
Electricity Derivatives
Subject:
Kalman filtering.
Subject:
Term structure models
Subject:
Finance/Investment/Banking
Subject:
Quantitative Finance
Subject:
Business-Accounting and Finance
Subject:
Economics
Subject:
Language, literature and biography
Subject:
mathematics and statistics
Copyright:
Edition Number:
2
Edition Description:
2nd ed. 2004
Series:
Springer Finance
Publication Date:
20040531
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
257
Dimensions:
235 x 155 mm 1210 gr

Related Subjects

Business » Accounting and Finance
Business » Investing
History and Social Science » Economics » General
Science and Mathematics » Mathematics » Algebra » General

Asset Pricing: Modeling and Estimation New Hardcover
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Product details 257 pages Springer-Verlag - English 9783540208532 Reviews:
"Synopsis" by , 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.
"Synopsis" by , The modern field of asset pricing requires the use of sound pricing models grounded on the theory of financial economics. This book provides a framework that integrates the continuous-time pricing practice in financial engineering and capital market data that is only available at discrete-time intervals. Starting with a comprehensive treatment of 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 incorporates recent research in this area of financial modeling.
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