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標(biāo)題: Titlebook: Asset Pricing; Modeling and Estimat B. Philipp Kellerhals Book 2004Latest edition Springer-Verlag Berlin Heidelberg 2004 Asset Pricing.Clos [打印本頁]

作者: arouse    時間: 2025-3-21 19:40
書目名稱Asset Pricing影響因子(影響力)




書目名稱Asset Pricing影響因子(影響力)學(xué)科排名




書目名稱Asset Pricing網(wǎng)絡(luò)公開度




書目名稱Asset Pricing網(wǎng)絡(luò)公開度學(xué)科排名




書目名稱Asset Pricing被引頻次




書目名稱Asset Pricing被引頻次學(xué)科排名




書目名稱Asset Pricing年度引用




書目名稱Asset Pricing年度引用學(xué)科排名




書目名稱Asset Pricing讀者反饋




書目名稱Asset Pricing讀者反饋學(xué)科排名





作者: 輕推    時間: 2025-3-21 20:15
Corinne, a Tool for Choreography Automatao the term structure literature in that it shifts the theoretical attention of modeling static investor tastes towards capturing beliefs of investor risk attitudes towards interest rate risk using an affine model structure.
作者: 創(chuàng)新    時間: 2025-3-22 00:26

作者: Inertia    時間: 2025-3-22 04:37
Book 2004Latest editionu- 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 engineeri
作者: Narrative    時間: 2025-3-22 12:00

作者: 發(fā)酵    時間: 2025-3-22 14:11

作者: Breach    時間: 2025-3-22 20:32
Initial Characteristic Resultsparameters on the shape of the term structures in a comparative statistic analysis. Such an analysis is considered relevant in order to know which type of term structures are realizable within the model and to get an idea on how changes in the values of the state variables and the model parameters influence the shape of the term structures.
作者: scoliosis    時間: 2025-3-22 22:02

作者: 空氣傳播    時間: 2025-3-23 01:46
Implications for Investment Strategiessed-end funds based on current information. The . question we raise is to test on how much information content lies in the estimated values of the closed-end fund premia. For this purpose we study trading strategies that exploit the observable differences between the dynamic premia and their long-run equilibria.
作者: buoyant    時間: 2025-3-23 06:19
Sebastian Bauer,Rolf Hennicker,Axel Legaysed-end funds based on current information. The . question we raise is to test on how much information content lies in the estimated values of the closed-end fund premia. For this purpose we study trading strategies that exploit the observable differences between the dynamic premia and their long-run equilibria.
作者: CLEFT    時間: 2025-3-23 12:53

作者: 推延    時間: 2025-3-23 14:03

作者: expository    時間: 2025-3-23 21:19
Term Structure Modelling bond markets in section 1.2.1 we examined the following interrelated peculiarities: the incompleteness of the market, the maturity independent risk premium, and the pricing of interest rate derivatives. To study these aspects we used a single-factor model that chooses the instantaneous short rate as the state variable:
作者: 意見一致    時間: 2025-3-23 23:41

作者: superfluous    時間: 2025-3-24 03:14

作者: defibrillator    時間: 2025-3-24 08:46

作者: 多樣    時間: 2025-3-24 14:34
Formal Aspects of Component Softwareling bond markets in section 1.2.1 we examined the following interrelated peculiarities: the incompleteness of the market, the maturity independent risk premium, and the pricing of interest rate derivatives. To study these aspects we used a single-factor model that chooses the instantaneous short rate as the state variable:
作者: SMART    時間: 2025-3-24 17:13

作者: 乞討    時間: 2025-3-24 19:16

作者: Diluge    時間: 2025-3-25 00:14
Sander de Putter,Anton Wijs,Dan Zhang on the technique of state space modeling, the relevant filtering algorithms, and finally the estimation of model parameters. These building blocks are empirically employed on capital market data in parts II, III, and IV, where we concentrate on specific adaptions of the presented estimation framewo
作者: 爭吵    時間: 2025-3-25 06:02
Sander de Putter,Anton Wijs,Dan Zhange specific characteristics of closed-end funds and their motivating features for financial research, especially for issues of pricing. Thereupon, we develop a valuation model in chapter 4 by means of contingent claim pricing techniques attempting to capture the certain financial characteristics of c
作者: 有斑點    時間: 2025-3-25 08:26
Programming Dynamic Reconfigurable Systemsned in this study exists of closed-end equity funds for a complete five year period from January 1993 to December 1997. All NYSE traded closed-end funds are included, if their date of issue lies before January 1993 in order to avoid post-offering pricing effects.. The data is collected on a weekly b
作者: BROTH    時間: 2025-3-25 14:56

作者: 的’    時間: 2025-3-25 16:46
Amir Molzam Sharifloo,Paola Spoletinithe pricing literature on closed-end funds in that we develop a valuation model that captures the distinct pricing characteristics of closed-end fund market shares. Given the pricing model we are able to perform a general closed-end fund analysis and derive insights into two potential applications o
作者: Crumple    時間: 2025-3-25 22:19

作者: 食料    時間: 2025-3-26 00:38

作者: Acetaldehyde    時間: 2025-3-26 05:54

作者: Generic-Drug    時間: 2025-3-26 09:52
Realisability of?Branching Pomsetsderivatives we now answer the question on how the model can be used in risk management. The management of interest rate risk is especially concerned with rebalancing a fixed-income portfolio exposed to interest rate risk due to the desired risk return characteristics. The types of interest rate risk
作者: 無法解釋    時間: 2025-3-26 16:39

作者: chalice    時間: 2025-3-26 17:59

作者: interference    時間: 2025-3-27 00:13

作者: offense    時間: 2025-3-27 01:17

作者: 讓空氣進(jìn)入    時間: 2025-3-27 08:00

作者: 冷淡一切    時間: 2025-3-27 12:02

作者: excursion    時間: 2025-3-27 16:51

作者: 合群    時間: 2025-3-27 21:10
Valuation ModelThe capital markets for closed-end funds provide two important prices for financial analysis: The market value of the closed-end funds’ shares as determined on organized exchanges, and the net asset value of their foreign assets which is reported by the investment companies.
作者: membrane    時間: 2025-3-28 01:41
Electricity Pricing ModelA proper specification of the model assumptions goes along with the decision on the pursued pricing objective. Our further attention concentrates on pricing short-term electricity derivatives, a choice which is partly motivated by the scarcely available and often illiquid data history on electricity derivatives.
作者: 啜泣    時間: 2025-3-28 02:58

作者: Exposition    時間: 2025-3-28 07:57

作者: 注意力集中    時間: 2025-3-28 14:26

作者: 煉油廠    時間: 2025-3-28 15:15
First Empirical Resultsthe share prices and net asset values are adjusted for distributions including income dividends and capital gains. In table 5.1 we report the figures for the total returns and their correlation along with the net proceeds and the date of the initial public offering (IPO) of the funds.
作者: 機構(gòu)    時間: 2025-3-28 22:07
Introduction and Surveyterest rates as well as the term structure of volatilities which are relevant in valuing derivatives. The following chapter 11 is dedicated to the management of interest rate risk. Starting with a clarification of the types of risk involved, we further implement the very useful technique of a durati
作者: Rebate    時間: 2025-3-29 00:22
Calibration to Standard Instrumentsaneously. These new attempts of integrating the dynamic properties of the term structure models with their cross-sectional implications using interest rate data of different maturities stem from some general problems and shortcomings when estimating term structure models.
作者: Admonish    時間: 2025-3-29 05:53

作者: Creditee    時間: 2025-3-29 09:06
1616-0533 ime framework, reviewed and as- sessed by Sundaresan (2000), allows us to obtain analytical pricing formulae that would be unavailable in a discrete time settin978-3-642-05879-0978-3-540-24697-8Series ISSN 1616-0533 Series E-ISSN 2195-0687
作者: milligram    時間: 2025-3-29 11:30
Dan Li,Xiaoshan Li,Zhiming Liu,Volker Stolzroach which we elaborate on two classical cases of asset pricing. Thereafter, we are equipped with the financial modeling framework for building and implementing financial pricing models for valuation and hedging purposes.
作者: Nuance    時間: 2025-3-29 15:51

作者: 留戀    時間: 2025-3-29 21:03

作者: FOLLY    時間: 2025-3-30 02:55

作者: Libido    時間: 2025-3-30 06:55
Lecture Notes in Computer Scienceaneously. These new attempts of integrating the dynamic properties of the term structure models with their cross-sectional implications using interest rate data of different maturities stem from some general problems and shortcomings when estimating term structure models.
作者: seduce    時間: 2025-3-30 12:18
Lecture Notes in Computer Sciencetricity prices. In chapter 16 we present an empirical adaptation of the theoretical pricing model in state space form. Using maximum likelihood estimation based on extended Kalman filtering we report empirical results on electricity data from the largely deregulated Californian electricity market. I
作者: 偽造者    時間: 2025-3-30 15:12
Financial Modeling A common and convenient method to describe the evolution of the modeled state variables is to specify their probabilistic behavior via It? processes. Here, the basic building block is the Brownian motion which we examine in this chapter accompanied by the necessary stochastic calculus to set up app
作者: refine    時間: 2025-3-30 18:52
Estimation Principles on the technique of state space modeling, the relevant filtering algorithms, and finally the estimation of model parameters. These building blocks are empirically employed on capital market data in parts II, III, and IV, where we concentrate on specific adaptions of the presented estimation framewo
作者: Abduct    時間: 2025-3-30 21:57

作者: 誘使    時間: 2025-3-31 04:57
First Empirical Resultsned in this study exists of closed-end equity funds for a complete five year period from January 1993 to December 1997. All NYSE traded closed-end funds are included, if their date of issue lies before January 1993 in order to avoid post-offering pricing effects.. The data is collected on a weekly b
作者: Sarcoma    時間: 2025-3-31 06:00
Implications for Investment Strategies the previous chapter we infer insights into two suggested applications relevant for closed-end fund investors. .,we address the investors’ fundamental question of the forecasting power of the pricing model, i.e. we investigate the ability of the pricing model to predict the market prices of the clo




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