Sign in to see your personalized home page
Great Deals on Used Textbooks & New Textbooks!              Thousands of eTextbooks now available!
My Account | Help Desk | Market Place Shopping Cart
Free shipping. Click here for details.
No items in cart.
Total: $0.00
Textbooks Sell Textbooks Books Supplies Medical Books College Apparel DVDs Clearance
Search  Advanced >>
Related Topics: Business & Economics >> Economics >> General
Cover Art for Asset Pricing: Modeling and Estimation
Other versions by this Author
Details>>

Asset Pricing: Modeling and Estimation


Edition: 2nd
Author(s): Kellerhals, B. Philipp
ISBN10:  3540208534
ISBN13:  9783540208532
Format:  Hardcover
Pub. Date:  5/27/2004
Publisher(s): Springer Verlag

Buy in Bulk
Send to a friend
New Price  N/A
List Price $135.00
eVIP Price  $125.05
New Copy:  Currently Not Available
add remove
Used Price  N/A
List Price $135.00
eVIP Price  N/A
0 used available 0 used available
Marketplace Price $105.73
List Price $135.00 Available in the eCampus Marketplace
 
 ALSO AVAILABLE FROM THESE OTHER MERCHANTS 
clicking 'SHOP NOW' will bring you to the listed merchant's site
StorePriceShippingQuality 
Amazon.com$135.00See SiteNewShop Amazon.com Now
DeepDiscount.com$130.95See SiteNewShop DeepDiscount.com Now
Buy.com$97.00See SiteNewShop Buy.com Now
0.46875
Table of Contents
Part I Asset Pricing Framework
1 Financial Modeling
3(18)
1.1 Continuous-Time Stochastics
3(6)
1.1.1 Stochastic Processes and Brownian Motion
3(3)
1.1.2 Martingales, Ito Calculus, and Changes of Measure
6(3)
1.2 Arbitrage Pricing in Continuous Time
9(12)
1.2.1 PDE Approach
9(6)
1.2.2 EMM Approach
15(6)
2 Estimation Principles
21(22)
2.1 State Space Notation
21(3)
2.2 Filtering Algorithms
24(11)
2.2.1 Filtering Objective
25(1)
2.2.2 Optimal Estimator
26(5)
2.2.3 Filter Recursions
31(2)
2.2.4 Extended Kalman Filtering
33(2)
2.3 Parameter Estimation
35(8)
Part II Pricing Equities
3 Introduction and Survey
43(6)
3.1 Opening Remarks
43(1)
3.2 Closed-End Funds: Survey and Hypotheses
44(5)
4 Valuation Model
49(10)
4.1 Characteristics of Closed-End Funds
49(4)
4.2 Economic Foundation
53(3)
4.3 Pricing Closed-End Fund Shares
56(3)
5 First Empirical Results
59(16)
5.1 Sample Data
59(5)
5.2 Implemented Model
64(1)
5.3 State Space Form
65(2)
5.4 Closed-End Fund Analysis
67(8)
6 Implications for Investment Strategies
75(10)
6.1 Testing the Forecasting Power
75(4)
6.1.1 Setup of Forecasting Study
75(2)
6.1.2 Evidence on Forecasting Quality
77(2)
6.2 Implementing Trading Rules
79(10)
6.2.1 Experimental Design
79(2)
6.2.2 Test Results on Trading Strategies
81(4)
7 Summary and Conclusions
85(4)
Part III Pricing Fixed-Income Securites
8 Introduction and Survey
89(8)
8.1 Overview
89(1)
8.2 Bond Prices and Interest Rates
90(3)
8.3 Dynamic Term Structure Models
93(4)
9 Term Structure Model
97(8)
9.1 Modeling an Incomplete Market
97(1)
9.2 Motivation for a Stochastic Risk Premium
98(3)
9.3 Economic Model
101(4)
10 Initial Characteristic Results
105(1)
10.1 Valuing Discount Bonds
105(1)
10.2 Term Structures of Interest Rates and Volatilities
112(15)
10.2.1 Spot and Forward Rate Curves
112(1)
10.2.2 Term Structure of Volatilities
113(2)
10.3 Analysis of Limiting Cases
115(1)
10.3.1 Reducing to an Ornstein-Uhlenbeck Process
115(2)
10.3.2 Examining the Asymptotic Behavior
117(2)
10.4 Possible Shapes of the Term Structures
119(1)
10.4.1 Influences of the State Variables
119(2)
10.4.2 Choosing the Model Parameters
121(6)
11 Risk Management and Derivatives Pricing
127(1)
11.1 Management of Interest Rate Risk
127(1)
11.2 Pricing Interest Rate Derivatives
129(14)
11.2.1 Bond Options
130(8)
11.2.2 Swap Contracts
138(2)
11.2.3 Interest Rate Caps and Floors
140(3)
12 Calibration to Standard Instruments
143(1)
12.1 Estimation Techniques for Term Structure Models
143(1)
12.2 Discrete Time Distribution of the State Variables
146(1)
12.3 US Treasury Securities
149(20)
12.3.1 Data Analysis
149(6)
12.3.2 Parameter Estimation
155(5)
12.3.3 Analysis of the State Variables
160(3)
12.4 Other Liquid Markets
163(1)
12.4.1 Appropriate Filtering Algorithm
164(1)
12.4.2 Sample Data and Estimation Results
165(4)
13 Summary and Conclusions
169(4)
Part IV Pricing Electricity Forwards
14 Introduction and Survey
173(1)
14.1 Overview
173(1)
14.2 Commodity Futures Markets
173(1)
14.3 Pricing Commodity Futures
176(1)
14.4 Asset Pricing in Electricity Markets
181(6)
15 Electricity Pricing Model
187(1)
15.1 Model Assumptions and Risk-Neutral Pricing
187(1)
15.2 Valuation of Electricity Forwards
190(5)
16 Empirical Inference
195(1)
16.1 Estimation Model
195(20)
16.1.1 Distribution of the State Variables
196(3)
16.1.2 State Space Formulation and Kalman Filter Setup
199(4)
16.2 Data Analysis and Estimation Results
203(12)
17 Summary and Conclusions
215(2)
List of Symbols and Notation 217(4)
List of Tables 221(2)
List of Figures 223(2)
References 225(16)
Index 241

Check Out These Items!
eCampus.com Black Notebook eCampus.com Black Notebook
Retail Price $5.00
Our Price $2.99
eCampus.com T-Shirt eCampus.com T-Shirt
Retail Price $14.99
Our Price $2.00
eCampus.com 2GB USB Drive eCampus.com 2GB USB Drive
Retail Price $27.95
Our Price $22.00
  Order Status
  Contact Us
  Help Desk
  Marketplace Info

  Shipping Rates
  Return Policy
  Bulk Orders
  F.A.S.T.
  Privacy Policy
  Legal Notices
  Site Security
  Employment
  eCampus Blog
  Affiliate Program
  Business Accounts
  College Marketing
HACKER SAFE certified sites prevent over 99.9% of hacker crime.
RSS Need Help? eService@ecampus.com   Copyright© 1999-2008     
.