| Part I Asset Pricing Framework |
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3 | (18) |
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1.1 Continuous-Time Stochastics |
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3 | (6) |
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1.1.1 Stochastic Processes and Brownian Motion |
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3 | (3) |
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1.1.2 Martingales, Ito Calculus, and Changes of Measure |
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6 | (3) |
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1.2 Arbitrage Pricing in Continuous Time |
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9 | (12) |
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9 | (6) |
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15 | (6) |
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21 | (22) |
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21 | (3) |
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24 | (11) |
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2.2.1 Filtering Objective |
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25 | (1) |
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26 | (5) |
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31 | (2) |
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2.2.4 Extended Kalman Filtering |
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33 | (2) |
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35 | (8) |
| Part II Pricing Equities |
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3 Introduction and Survey |
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43 | (6) |
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43 | (1) |
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3.2 Closed-End Funds: Survey and Hypotheses |
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44 | (5) |
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49 | (10) |
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4.1 Characteristics of Closed-End Funds |
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49 | (4) |
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53 | (3) |
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4.3 Pricing Closed-End Fund Shares |
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56 | (3) |
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5 First Empirical Results |
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59 | (16) |
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59 | (5) |
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64 | (1) |
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65 | (2) |
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5.4 Closed-End Fund Analysis |
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67 | (8) |
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6 Implications for Investment Strategies |
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75 | (10) |
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6.1 Testing the Forecasting Power |
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75 | (4) |
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6.1.1 Setup of Forecasting Study |
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75 | (2) |
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6.1.2 Evidence on Forecasting Quality |
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77 | (2) |
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6.2 Implementing Trading Rules |
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79 | (10) |
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6.2.1 Experimental Design |
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79 | (2) |
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6.2.2 Test Results on Trading Strategies |
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81 | (4) |
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7 Summary and Conclusions |
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85 | (4) |
| Part III Pricing Fixed-Income Securites |
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8 Introduction and Survey |
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89 | (8) |
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89 | (1) |
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8.2 Bond Prices and Interest Rates |
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90 | (3) |
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8.3 Dynamic Term Structure Models |
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93 | (4) |
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97 | (8) |
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9.1 Modeling an Incomplete Market |
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97 | (1) |
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9.2 Motivation for a Stochastic Risk Premium |
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98 | (3) |
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101 | (4) |
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10 Initial Characteristic Results |
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105 | (1) |
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10.1 Valuing Discount Bonds |
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105 | (1) |
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10.2 Term Structures of Interest Rates and Volatilities |
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112 | (15) |
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10.2.1 Spot and Forward Rate Curves |
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112 | (1) |
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10.2.2 Term Structure of Volatilities |
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113 | (2) |
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10.3 Analysis of Limiting Cases |
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115 | (1) |
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10.3.1 Reducing to an Ornstein-Uhlenbeck Process |
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115 | (2) |
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10.3.2 Examining the Asymptotic Behavior |
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117 | (2) |
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10.4 Possible Shapes of the Term Structures |
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119 | (1) |
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10.4.1 Influences of the State Variables |
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119 | (2) |
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10.4.2 Choosing the Model Parameters |
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121 | (6) |
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11 Risk Management and Derivatives Pricing |
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127 | (1) |
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11.1 Management of Interest Rate Risk |
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127 | (1) |
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11.2 Pricing Interest Rate Derivatives |
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129 | (14) |
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130 | (8) |
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138 | (2) |
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11.2.3 Interest Rate Caps and Floors |
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140 | (3) |
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12 Calibration to Standard Instruments |
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143 | (1) |
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12.1 Estimation Techniques for Term Structure Models |
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143 | (1) |
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12.2 Discrete Time Distribution of the State Variables |
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146 | (1) |
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12.3 US Treasury Securities |
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149 | (20) |
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149 | (6) |
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12.3.2 Parameter Estimation |
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155 | (5) |
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12.3.3 Analysis of the State Variables |
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160 | (3) |
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12.4 Other Liquid Markets |
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163 | (1) |
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12.4.1 Appropriate Filtering Algorithm |
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164 | (1) |
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12.4.2 Sample Data and Estimation Results |
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165 | (4) |
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13 Summary and Conclusions |
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169 | (4) |
| Part IV Pricing Electricity Forwards |
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14 Introduction and Survey |
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173 | (1) |
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173 | (1) |
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14.2 Commodity Futures Markets |
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173 | (1) |
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14.3 Pricing Commodity Futures |
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176 | (1) |
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14.4 Asset Pricing in Electricity Markets |
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181 | (6) |
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15 Electricity Pricing Model |
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187 | (1) |
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15.1 Model Assumptions and Risk-Neutral Pricing |
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187 | (1) |
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15.2 Valuation of Electricity Forwards |
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190 | (5) |
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195 | (1) |
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195 | (20) |
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16.1.1 Distribution of the State Variables |
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196 | (3) |
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16.1.2 State Space Formulation and Kalman Filter Setup |
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199 | (4) |
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16.2 Data Analysis and Estimation Results |
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203 | (12) |
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17 Summary and Conclusions |
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215 | (2) |
| List of Symbols and Notation |
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217 | (4) |
| List of Tables |
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221 | (2) |
| List of Figures |
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223 | (2) |
| References |
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225 | (16) |
| Index |
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241 | |
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