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Asset Pricing: Modeling and Estimation
Hardcover
Series: Springer Finance
ISBN13: 9783540208532
Publisher: Springer
Published: Apr 6 2004
Pages: 243
Weight: 1.09
Height: 0.76 Width: 6.44 Depth: 9.38
Language: English
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.
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