Asset Pricing by Bphilipp Kellerhals
The modern field of asset pricing asks for sound pricing models grounded on the theory of financial economies a la Ingersoll (1987) as weIl as for accu- rate estimation techniques a la Hamilton (1994b) when it comes to empirical inferences of the specified model. The idea behind this book on hand is to provide the reader with 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. Three major financial markets are to be examined for which we select the equity market, the bond market, and the electricity market. In each mar- ket we derive new valuation models to price selected financial instruments in continuous-time. The decision criterium for choosing a continuous-time model- ing framework is the richness of the stochastic theory available for continuous- time processes with Merton's pioneering contributions to financial economics, collected in Merton (1992). The continuous-time framework, reviewed and as- sessed by Sundaresan (2000), allows us to obtain analytical pricing formulae that would be unavailable in a discrete time setting. However, at the time of implementing the derived theoretical pricing models on market data, that is necessarily sampled at discrete time intervals, we work with so-called exact discrete time equivalents a la Bergstrom (1984). We show how to conveniently work within astate space framework which we derive in a general setting as weIl as explicitly for each of the three applications.-
Stochastic Calculus for Finance I
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Stochastic Calculus for Finance II
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Interest Rate Models - Theory and Practice
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Financial Markets in Continuous Time
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Risk and Asset Allocation
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Stochastic Calculus of Variations in Mathematical Finance
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Modelling, Pricing, and Hedging Counterparty Credit Exposure
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Volterra Volatility Models
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Continuous-Time Asset Pricing Theory
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Term-Structure Models
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Option Prices as Probabilities
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Contract Theory in Continuous-Time Models
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Financial Modeling
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Visual Explorations in Finance
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Financial Modeling, Actuarial Valuation and Solvency in Insurance
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Analytically Tractable Stochastic Stock Price Models
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Applications of Fourier Transform to Smile Modeling
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Computational Methods for Quantitative Finance
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Markets with Transaction Costs
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Interest-Rate Management
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Financial Markets Theory
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Mathematical Methods for Financial Markets
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Mathematics of Financial Markets
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Irrational Exuberance Reconsidered
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Credit Risk Valuation
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CreditRisk+ in the Banking Industry
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A Game Theory Analysis of Options
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Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
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Mathematical Finance - Bachelier Congress 2000
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Credit Risk: Modeling, Valuation and Hedging
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Empirical Techniques in Finance
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Efficient Methods for Valuing Interest Rate Derivatives
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Weak Convergence of Financial Markets
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Risk-Neutral Valuation
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Financial Modeling Under Non-Gaussian Distributions
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)
| SKU | Unavailable |
| ISBN 13 | 9783642058790 |
| ISBN 10 | 3642058795 |
| Title | Asset Pricing |
| Author | Bphilipp Kellerhals |
| Series | Springer Finance |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Springer |
| Year published | 2010-12-06 |
| Number of pages | 243 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |