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Asset Pricing

Modeling and Estimation

  • Book
  • © 2004

Overview

Authors:
  1. B. Philipp Kellerhals

    1. Allianz Dresdner Asset Management, Frankfurt am Main, Germany

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Part of the book series: Springer Finance (FINANCE)

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Table of contents (17 chapters)

  1. Front Matter

    Pages I-XIV
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  2. Asset Pricing Framework

    1. Front Matter

      Pages 1-1
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    2. Financial Modeling

      • B. Philipp Kellerhals
      Pages 3-20

    3. Estimation Principles

      • B. Philipp Kellerhals
      Pages 21-39

  3. Pricing Equities

    1. Front Matter

      Pages 41-41
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    2. Introduction and Survey

      • B. Philipp Kellerhals
      Pages 43-48

    3. Valuation Model

      • B. Philipp Kellerhals
      Pages 49-58

    4. First Empirical Results

      • B. Philipp Kellerhals
      Pages 59-73

    5. Implications for Investment Strategies

      • B. Philipp Kellerhals
      Pages 75-84

    6. Summary and Conclusions

      • B. Philipp Kellerhals
      Pages 85-86

  4. Pricing Fixed-Income Securites

    1. Front Matter

      Pages 87-87
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    2. Introduction and Survey

      • B. Philipp Kellerhals
      Pages 89-96

    3. Term Structure Model

      • B. Philipp Kellerhals
      Pages 97-104

    4. Initial Characteristic Results

      • B. Philipp Kellerhals
      Pages 105-125

    5. Risk Management and Derivatives Pricing

      • B. Philipp Kellerhals
      Pages 127-142

    6. Calibration to Standard Instruments

      • B. Philipp Kellerhals
      Pages 143-167

    7. Summary and Conclusions

      • B. Philipp Kellerhals
      Pages 169-170

  5. Pricing Electricity Forwards

    1. Front Matter

      Pages 171-171
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    2. Introduction and Survey

      • B. Philipp Kellerhals
      Pages 173-186

    3. Electricity Pricing Model

      • B. Philipp Kellerhals
      Pages 187-194
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Keywords

About this book

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.

Reviews

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)

Authors and Affiliations

  • Allianz Dresdner Asset Management, Frankfurt am Main, Germany

    B. Philipp Kellerhals

Bibliographic Information

  • Book Title: Asset Pricing

  • Book Subtitle: Modeling and Estimation

  • Authors: B. Philipp Kellerhals

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-3-540-24697-8

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2004

  • Hardcover ISBN: 978-3-540-20853-2Published: 06 April 2004

  • Softcover ISBN: 978-3-642-05879-0Published: 06 December 2010

  • eBook ISBN: 978-3-540-24697-8Published: 02 November 2012

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 2

  • Number of Pages: XIV, 243

  • Additional Information: Originally published as volume 506 in the series "Lecture Notes Economics"

  • Topics: Finance, general, Public Economics, Quantitative Finance, Econometrics

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