Asset Pricing: Modeling and Estimation / Edition 2

Paperback (Print)
Buy New
Buy New from BN.com
$129.37
Used and New from Other Sellers
Used and New from Other Sellers
from $137.76
Usually ships in 1-2 business days
(Save 27%)
Other sellers (Paperback)
  • All (4) from $137.76   
  • New (3) from $137.76   
  • Used (1) from $208.27   

Overview

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.

Read More Show Less

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)

Read More Show Less

Product Details

  • ISBN-13: 9783642058790
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 12/7/2010
  • Series: Springer Finance Series
  • Edition description: Softcover reprint of hardcover 2nd ed. 2004
  • Edition number: 2
  • Pages: 243
  • Product dimensions: 0.55 (w) x 9.21 (h) x 6.14 (d)

Table of Contents

I Asset Pricing Framework.- 1 Financial Modeling.- 1.1 Continuous-Time Shastics.- 1.1.1 Shastic Processes and Brownian Motion.- 1.1.2 Martingales, Itô Calculus, and Changes of Measure.- 1.2 Arbitrage Pricing in Continuous Time.- 1.2.1 PDE Approach.- 1.2.2 EMM Approach.- 2 Estimation Principles.- 2.1 State Space Notation.- 2.2 Filtering Algorithms.- 2.2.1 Filtering Objective.- 2.2.2 Optimal Estimator.- 2.2.3 Filter Recursions.- 2.2.4 Extended Kalman Filtering.- 2.3 Parameter Estimation.- II Pricing Equities.- 3 Introduction and Survey.- 3.1 Opening Remarks.- 3.2 Closed-End Funds: Survey and Hypotheses.- 4 Valuation Model.- 4.1 Characteristics of Closed-End Funds.- 4.2 Economic Foundation.- 4.3 Pricing Closed-End Fund Shares.- 5 First Empirical Results.- 5.1 Sample Data.- 5.2 Implemented Model.- 5.3 State Space Form.- 5.4 Closed-End Fund Analysis.- 6 Implications for Investment Strategies.- 6.1 Testing the Forecasting Power.- 6.1.1 Setup of Forecasting Study.- 6.1.2 Evidence on Forecasting Quality.- 6.2 Implementing Trading Rules.- 6.2.1 Experimental Design.- 6.2.2 Test Results on Trading Strategies.- 7 Summary and Conclusions.- III Pricing Fixed-Income Securites.- 8 Introduction and Survey.- 8.1 Overview.- 8.2 Bond Prices and Interest Rates.- 8.3 Dynamic Term Structure Models.- 9 Term Structure Model.- 9.1 Modeling an Incomplete Market.- 9.2 Motivation for a Shastic Risk Premium.- 9.3 Economic Model.- 10 Initial Characteristic Results.- 10.1 Valuing Discount Bonds.- 10.2 Term Structures of Interest Rates and Volatilities.- 10.2.1 Spot and Forward Rate Curves.- 10.2.2 Term Structure of Volatilities.- 10.3 Analysis of Limiting Cases.- 10.3.1 Reducing to an Ornstein-Uhlenbeck Process.- 10.3.2 Examining the Asymptotic Behavior.- 10.4 Possible Shapes of the Term Structures.- 10.4.1 Influences of the State Variables.- 10.4.2 Choosing the Model Parameters.- 11 Risk Management and Derivatives Pricing.- 11.1 Management of Interest Rate Risk.- 11.2 Pricing Interest Rate Derivatives.- 11.2.1 Bond Options.- 11.2.2 Swap Contracts.- 11.2.3 Interest Rate Caps and Floors.- 12 Calibration to Standard Instruments.- 12.1 Estimation Techniques for Term Structure Models.- 12.2 Discrete Time Distribution of the State Variables.- 12.3 US Treasury Securities.- 12.3.1 Data Analysis.- 12.3.2 Parameter Estimation.- 12.3.3 Analysis of the State Variables.- 12.4 Other Liquid Markets.- 12.4.1 Appropriate Filtering Algorithm.- 12.4.2 Sample Data and Estimation Results.- 13 Summary and Conclusions.- IV Pricing Electricity Forwards.- 14 Introduction and Survey.- 14.1 Overview.- 14.2 Commodity Futures Markets.- 14.3 Pricing Commodity Futures.- 14.4 Asset Pricing in Electricity Markets.- 15 Electricity Pricing Model.- 15.1 Model Assumptions and Risk-Neutral Pricing.- 15.2 Valuation of Electricity Forwards.- 16 Empirical Inference.- 16.1 Estimation Model.- 16.1.1 Distribution of the State Variables.- 16.1.2 State Space Formulation and Kalman Filter Setup.- 16.2 Data Analysis and Estimation Results.- 17 Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)