Asset Pricing: Modeling and Estimation

Front Cover
Springer Science & Business Media, Apr 6, 2004 - Business & Economics - 243 pages
0 Reviews
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.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

I
3
III
6
IV
9
VI
15
VII
21
IX
24
X
25
XI
26
XXXIX
115
XL
117
XLI
119
XLIII
121
XLIV
127
XLV
129
XLVI
130
XLVII
138

XII
31
XIII
33
XIV
35
XV
43
XVI
44
XVII
49
XVIII
53
XIX
56
XX
59
XXI
64
XXII
65
XXIII
67
XXIV
75
XXV
77
XXVI
79
XXVII
81
XXVIII
85
XXIX
89
XXX
90
XXXI
93
XXXII
97
XXXIII
98
XXXIV
101
XXXV
105
XXXVI
112
XXXVIII
113
XLVIII
140
XLIX
143
L
146
LI
149
LII
155
LIII
160
LIV
163
LV
164
LVI
165
LVII
169
LVIII
173
LIX
176
LX
181
LXI
187
LXII
190
LXIII
195
LXIV
196
LXV
199
LXVI
203
LXVII
215
LXVIII
217
LXIX
221
LXX
223
LXXI
225
LXXII
241
Copyright

Other editions - View all

Common terms and phrases

Bibliographic information