Buch, Englisch, 243 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 400 g
Reihe: Springer Finance
Modeling and Estimation
Buch, Englisch, 243 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 400 g
Reihe: Springer Finance
ISBN: 978-3-642-05879-0
Verlag: Springer
This updated second edition provides a framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data from discrete-time intervals. Starting with a comprehensive treatment of the particular stochastic modeling and econometric estimation framework, the main part of the book covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. The second edition includes a new chapter on financial modeling which discusses vital PDE- and EMM-approaches. The reorganized and improved text further integrates the latest research contributions in the three covered application fields.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
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.
