Asset pricing : modeling and estimation.

Asset pricing : modeling and estimation.

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Bibliographic Details
Author / Creator:	Kellerhals, B. Philipp, 1971-
Edition:	2nd ed.
Imprint:	Berlin ; New York : Springer, c2004.
Description:	xiv, 243 p. ; 24 cm.
Language:	English
Series:	Springer finance
Subject:	Capital assets pricing model. Finance -- Mathematical models. Investments -- Mathematical models. Assets (Accounting) -- Prices -- Econometric models. Prices -- Mathematical models. Kalman filtering. Assets (Accounting) -- Prices -- Econometric models. Finance -- Mathematical models. Investments -- Mathematical models. Kalman filtering. Prices -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/5543003

Hidden Bibliographic Details
ISBN:	3540208534

Table of Contents:

Pt. I. Asset pricing framework
1. Financial modeling
2. Estimation principles
Pt. II. Pricing equities
3. Introduction and survey
4. Valuation model
5. First empirical results
6. Implications for investment strategies
7. Summary and conclusions
Pt. III. Pricing fixed-income securites
8. Introduction and survey
9. Term structure model
10. Initial characteristic results
11. Risk management and derivatives pricing
12. Calibration to standard instruments
13. Summary and conclusions
Pt. IV. Pricing electricity forwards
14. Introduction and survey
15. Electricity pricing model
16. Empirical inference
17. Summary and conclusions.