Asset Pricing: Modeling and Estimation / Edition 2

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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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Editorial Reviews

From the Publisher
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)

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Product Details

  • ISBN-13: 9783540208532
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 5/27/2004
  • Series: Springer Finance Series
  • Edition description: 2nd ed. 2004
  • Edition number: 2
  • Pages: 257
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.63 (d)

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.

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