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Asset pricing : modeling and estimation

Author: B Philipp Kellerhals
Publisher: Berlin ; New York : Springer, ©2004.
Series: Springer finance.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Database:WorldCat
Summary:

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. This book covers  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: B Philipp Kellerhals
ISBN: 3540208534 9783540208532
OCLC Number: 56136299
Notes: The 1st ed. was published as v. 506 in the series, Lecture notes in economics and mathematical systems, under the title: Financial pricing models in continuous time and Kalman filtering. Berlin ; New York : Springer, ©2001.
Description: xiv, 243 pages : illustrations ; 24 cm.
Contents: Pt. I. Asset pricing framework --
1. Financial modeling --
2. Estimation principles --
Pt. II. Pricing equities --
3. Introduction and survey --
4. Valuation model --
5. First empirical results --
6. Implications for investment strategies --
7. Summary and conclusions --
Pt. 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 --
Pt. IV. Pricing electricity forwards --
14. Introduction and survey --
15. Electricity pricing model --
16. Empirical inference --
17. Summary and conclusions.
Series Title: Springer finance.
Responsibility: B. Philipp Kellerhals.
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