| 期刊全称 | Asset Pricing | | 期刊简称 | Modeling and Estimat | | 影响因子2023 | B. Philipp Kellerhals | | 视频video | | | 学科分类 | Springer Finance | | 图书封面 |  | | 影响因子 | 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 settin | | Pindex | Book 2004Latest edition |
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发表于 2025-3-21 19:40:34
