Asset Pricing

Modeling and Estimation

  • B. Philipp Kellerhals

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Asset Pricing Framework

    1. Front Matter
      Pages 1-1
    2. B. Philipp Kellerhals
      Pages 3-20
    3. B. Philipp Kellerhals
      Pages 21-39
  3. Pricing Equities

    1. Front Matter
      Pages 41-41
    2. B. Philipp Kellerhals
      Pages 43-48
    3. B. Philipp Kellerhals
      Pages 49-58
    4. B. Philipp Kellerhals
      Pages 59-73
    5. B. Philipp Kellerhals
      Pages 75-84
    6. B. Philipp Kellerhals
      Pages 85-86
  4. Pricing Fixed-Income Securites

    1. Front Matter
      Pages 87-87
    2. B. Philipp Kellerhals
      Pages 89-96
    3. B. Philipp Kellerhals
      Pages 97-104
    4. B. Philipp Kellerhals
      Pages 105-125
    5. B. Philipp Kellerhals
      Pages 127-142
    6. B. Philipp Kellerhals
      Pages 143-167
    7. B. Philipp Kellerhals
      Pages 169-170
  5. Pricing Electricity Forwards

    1. Front Matter
      Pages 171-171
    2. B. Philipp Kellerhals
      Pages 173-186
    3. B. Philipp Kellerhals
      Pages 187-194
    4. B. Philipp Kellerhals
      Pages 195-213
    5. B. Philipp Kellerhals
      Pages 215-216
  6. Back Matter
    Pages 217-243

About this book


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.


Asset Pricing Closed-End Funds Continuous-Time Financial Market Models Derivate Electricity Derivatives Financial Modeling Funds Investment Kalman Filtering Stochastic model Term Structure Models modeling

Authors and affiliations

  • B. Philipp Kellerhals
    • 1
  1. 1.Allianz Dresdner Asset ManagementFrankfurt am MainGermany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-05879-0
  • Online ISBN 978-3-540-24697-8
  • Series Print ISSN 1616-0533
  • Buy this book on publisher's site
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