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Financial Pricing Models in Continuous Time and Kalman Filtering

  • B. Philipp Kellerhals

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 506)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Overview of the Study

    1. B. Philipp Kellerhals
      Pages 1-3
  3. Modeling and Estimation Principles

    1. Front Matter
      Pages 5-5
    2. B. Philipp Kellerhals
      Pages 7-9
    3. B. Philipp Kellerhals
      Pages 11-14
    4. B. Philipp Kellerhals
      Pages 15-27
    5. B. Philipp Kellerhals
      Pages 29-33
  4. Pricing Equities

    1. Front Matter
      Pages 35-35
    2. B. Philipp Kellerhals
      Pages 37-41
    3. B. Philipp Kellerhals
      Pages 43-53
    4. B. Philipp Kellerhals
      Pages 55-70
    5. B. Philipp Kellerhals
      Pages 71-81
    6. B. Philipp Kellerhals
      Pages 83-84
  5. Term Structure Modeling

    1. Front Matter
      Pages 85-85
    2. B. Philipp Kellerhals
      Pages 87-96
    3. B. Philipp Kellerhals
      Pages 97-103
    4. B. Philipp Kellerhals
      Pages 105-127
    5. B. Philipp Kellerhals
      Pages 129-145
    6. B. Philipp Kellerhals
      Pages 147-173
    7. B. Philipp Kellerhals
      Pages 175-176
  6. Pricing Electricity Forwards

    1. Front Matter
      Pages 177-177
    2. B. Philipp Kellerhals
      Pages 179-187
    3. B. Philipp Kellerhals
      Pages 189-199
    4. B. Philipp Kellerhals
      Pages 201-220
    5. B. Philipp Kellerhals
      Pages 221-222
  7. Back Matter
    Pages 223-250

About this book

Introduction

Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer­ ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op­ tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un­ related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm.

Keywords

Closed- End Funds Derivate Electricity DerivativesV Financing Finanzierung Funds Investment Kalman Filter Kalman Filtering Time Continuous Prcing Models decision making derivatives financial economics risk management valuation

Authors and affiliations

  • B. Philipp Kellerhals
    • 1
  1. 1.Gesellschaft für Wertpapieranlagen mbHDeutscher Investment-TrustFrankfurt am MainGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-21901-0
  • Copyright Information Springer-Verlag Berlin Heidelberg 2001
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-42364-5
  • Online ISBN 978-3-662-21901-0
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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