Asset Pricing

Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.

ISBN	3540208534	Pages	264
ISBN13	9783540208532 (What's this?)	Volumes	1
Publisher	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG	Weight (grammes)	1210
Imprint	Springer-Verlag Berlin and Heidelberg GmbH & Co. K	Published in	Berlin
Format	Hardback	Series title	Springer Finance
Publication date	04 Apr 2004	Height (mm)	234
Library of Congress	HG176	Width (mm)	156
DEWEY	332.6	Spine width (mm)	15
DEWEY edition	DC21	Academic level	Professional / Scholarly

Pt. I	Asset pricing framework
1	Financial modeling	3
2	Estimation principles	21
Pt. II	Pricing equities
3	Introduction and survey	43
4	Valuation model	49
5	First empirical results	59
6	Implications for investment strategies	75
7	Summary and conclusions	85
Pt. III	Pricing fixed-income securites
8	Introduction and survey	89
9	Term structure model	97
10	Initial characteristic results	105
11	Risk management and derivatives pricing	127
12	Calibration to standard instruments	143
13	Summary and conclusions	169
Pt. IV	Pricing electricity forwards
14	Introduction and survey	173
15	Electricity pricing model	187
16	Empirical inference	195
17	Summary and conclusions	215

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)

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