標(biāo)題: Titlebook: Economic Foundation of Asset Price Processes; Erik Lüders Book 2004 Springer-Verlag Berlin Heidelberg 2004 Arbitrage.Asset Pricing.Financi [打印本頁] 作者: 母牛膽小鬼 時間: 2025-3-21 17:21
書目名稱Economic Foundation of Asset Price Processes影響因子(影響力)
書目名稱Economic Foundation of Asset Price Processes影響因子(影響力)學(xué)科排名
書目名稱Economic Foundation of Asset Price Processes網(wǎng)絡(luò)公開度
書目名稱Economic Foundation of Asset Price Processes網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Economic Foundation of Asset Price Processes被引頻次
書目名稱Economic Foundation of Asset Price Processes被引頻次學(xué)科排名
書目名稱Economic Foundation of Asset Price Processes年度引用
書目名稱Economic Foundation of Asset Price Processes年度引用學(xué)科排名
書目名稱Economic Foundation of Asset Price Processes讀者反饋
書目名稱Economic Foundation of Asset Price Processes讀者反饋學(xué)科排名
作者: 填料 時間: 2025-3-21 23:12
978-3-7908-0149-1Springer-Verlag Berlin Heidelberg 2004作者: Diastole 時間: 2025-3-22 03:40 作者: jungle 時間: 2025-3-22 08:09 作者: 小丑 時間: 2025-3-22 11:28
Asset Returns Given Stochastic Volatility of the Information Process,ne-factor framework may be too simple to characterise asset returns Moreover, it seems fruitful to see the effect a second risk factor driving the information process might have on return characteristics. . In Chap 3 we have seen that it is quite sensible to assume that the volatility of the information process is stochastic.作者: surmount 時間: 2025-3-22 14:11
Economic Foundation of Asset Price Processes978-3-7908-2660-9Series ISSN 1615-6781 Series E-ISSN 1867-2027 作者: surmount 時間: 2025-3-22 20:20 作者: Torrid 時間: 2025-3-22 22:33 作者: 怪物 時間: 2025-3-23 02:01 作者: perimenopause 時間: 2025-3-23 09:30
Automotive Systems Engineering IIretical literature, including the seminal Capital Asset Pricing Model, and of empirical research we still lack a sound understanding of what drives asset prices. Since the article of Black and Scholes in 1973 on the pricing of options the geometric Brownian motion might be considered the predominant作者: OATH 時間: 2025-3-23 13:01 作者: 袋鼠 時間: 2025-3-23 16:29 作者: 含糊其辭 時間: 2025-3-23 18:31
H. Gülker,H. Heuer,J. Thale,M. Meyeret prices We will now review the empirical and theoretical literature on asset pricing The implications for the information process and the pricing kernel will be emphasised The aim of this chapter is to summarise the main empirical and theoretical results in order to point out still open questions 作者: 剛毅 時間: 2025-3-23 23:44
https://doi.org/10.1007/978-3-642-72388-9sis as general as possible and therefore we avoid a parameterization of the pricing kernel The results are thus purely qualitative, a quantification of the implications is presented in the following chapter.作者: Affiliation 時間: 2025-3-24 04:36
Friedrich Strian,Manfred Haslbeck others has imposed further restrictions on asset price processes than just the absence of arbitrage possibilities Viable asset prices in their sense imply a path-independent pricing kernel While this class of asset prices is still large, it is hard to find analytical solutions for these processes u作者: Saline 時間: 2025-3-24 07:45 作者: 尖叫 時間: 2025-3-24 13:32
https://doi.org/10.1007/3-540-30811-3ternatives to the empirically motivated time-series models The analysis is based on the fact that asset prices are completely determined by the information process and the pricing kernel The information process may be interpreted as characterizing a representative investor’s expectations while the p作者: ABOUT 時間: 2025-3-24 14:49 作者: consolidate 時間: 2025-3-24 21:49 作者: 影響帶來 時間: 2025-3-24 23:37 作者: 舊石器時代 時間: 2025-3-25 04:25 作者: 嫻熟 時間: 2025-3-25 11:10 作者: Mingle 時間: 2025-3-25 12:13
Analytical Asset Price Processes,ernel We begin with a new class of pricing kernels Its advantage is that although these pricing kernels generate analytical asset prices, they are relatively flexible and not restricted to constant elasticity Later, we will also derive analytical asset prices which are consistent with HARA-utility.作者: 包租車船 時間: 2025-3-25 19:38 作者: inscribe 時間: 2025-3-25 20:56 作者: V切開 時間: 2025-3-26 00:55
Book 2004It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these作者: 安撫 時間: 2025-3-26 04:48 作者: osteocytes 時間: 2025-3-26 12:20
Book 2004 processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy..作者: hypotension 時間: 2025-3-26 13:50
1615-6781 analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series mo作者: osteopath 時間: 2025-3-26 19:01
1615-6781 ity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy..978-3-7908-0149-1978-3-7908-2660-9Series ISSN 1615-6781 Series E-ISSN 1867-2027 作者: LINES 時間: 2025-3-26 23:08 作者: CRUC 時間: 2025-3-27 01:58
Arbitrage-Free Markets and the Pricing Kernel,ing, it seems obvious that such possibilities should be rare in financial markets. Thus, our theoretical approach assumes that markets are arbitrage-free For the technical definition of arbitrage-free markets let us first introduce the market setting.作者: 散步 時間: 2025-3-27 05:39 作者: cliche 時間: 2025-3-27 09:44
Literature Review,et prices We will now review the empirical and theoretical literature on asset pricing The implications for the information process and the pricing kernel will be emphasised The aim of this chapter is to summarise the main empirical and theoretical results in order to point out still open questions 作者: Barrister 時間: 2025-3-27 17:34 作者: Opponent 時間: 2025-3-27 20:42 作者: 發(fā)誓放棄 時間: 2025-3-27 23:49 作者: 認(rèn)識 時間: 2025-3-28 04:11
Summary,ternatives to the empirically motivated time-series models The analysis is based on the fact that asset prices are completely determined by the information process and the pricing kernel The information process may be interpreted as characterizing a representative investor’s expectations while the p作者: 分開如此和諧 時間: 2025-3-28 10:18 作者: 持續(xù) 時間: 2025-3-28 13:26
The Information Process, flows In our model, where no divIDends are paID until the terminal date ., the relevant information is the (exogenous) distribution of the terminal value This information can be modeled by the so-called information process. Generally, the information process . is defined as . where . = . = . is the作者: 纖細(xì) 時間: 2025-3-28 15:44 作者: Foreshadow 時間: 2025-3-28 22:33
