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Asset Pricing - Modeling and Estimation (Hardcover, 2nd ed. 2004)
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Asset Pricing - Modeling and Estimation (Hardcover, 2nd ed. 2004)
Series: Springer Finance
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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."
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