Asset pricing. Modeling and estimation. (Q1780027)

The modern field of asset pricing asks for sound pricing models grounded on the theory of financial economics as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. This book provides a cannonical 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. Starting with a comprehensive treatment of the particular stochastic modelling and econometric estimation framework, the main parts of the book cover applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. This second edition newly incorporates the financial modelling chapter which elaborates on the vital PDE- and EMM- approaches. 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. Different types of Kalman filter algorithms are used to empirically estimate current pricing problems in the field of finnancial economics.