Financial Pricing Models in Continuous Time and Kalman Filtering

by B. Philipp Kellerhals

The modern field of financial economics asks for sound pricing models grounded on the theory of financial decision making as well as for accurate estimation techniques when it comes to empirical inferences of the specified model. The volume Financial Pricing Models in Continuous Time and Kalman Filtering provides a framework that shows how to bridge the gap between the time-continuous pricing practice in financial engineering and the capital market data inevitably only available at discrete time intervals. Starting with the general framework we consider applications to financial instruments traded on the markets for funds, fixed income products, and electricity derivatives

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Year of publication:	2001
Authors:	Kellerhals, B. Philipp
Publisher:	Berlin, Heidelberg : Springer Berlin Heidelberg
Subject:	CAPM \| Zustandsraummodell \| State space model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Zeitökonomie \| Economy of time
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

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Extent:	Online-Ressource (XIV, 250 p) online resource
Series:	Lecture Notes in Economics and Mathematical Systems ; 506
Type of publication:	Book / Working Paper
Language:	English
Notes:	Overview of the StudyModeling and Estimation Principles -- Stochastic Environment; State Space Notation; Filtering Algorithms; Parameter Estimation; Pricing Equities -- Introduction; Valuation Model; First Empirical Results; Implications for Investment Strategies; Summary and Conclusions; Term Structure Modeling -- Introduction; Term Structure Model; Initial Characteristic Results; Risk Management and Derivatives Pricing; Calibration to Standard Instruments; Summary and Conclusions; Pricing Electricity Forwards -- Introduction; Electricity Pricing Model; Empirical Inference; Summary and Conclusions; List of Symbols and Notation; List of Tables; List of Figures; Bibliography.
ISBN:	978-3-662-21901-0 ; 978-3-540-42364-5
Other identifiers:	10.1007/978-3-662-21901-0 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013521568