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asset pricing: modeling and estimation
B. Philipp Kellerhals
(Autor)
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Springer
· Tapa Blanda
asset pricing: modeling and estimation - Kellerhals, B. Philipp
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Reseña del libro "asset pricing: modeling and estimation"
This updated second edition provides a framework that shows how to bridge the gap between the continuous-time pricing practice in financial engineering and the capital market data from discrete-time intervals. Starting with a comprehensive treatment of the particular stochastic modeling and econometric estimation framework, the main part of the book covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. The second edition includes a new chapter on financial modeling which discusses vital PDE- and EMM-approaches. The reorganized and improved text further integrates the latest research contributions in the three covered application fields.
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