Titlebook: Asset Pricing; Modeling and Estimat B. Philipp Kellerhals Book 2004Latest edition Springer-Verlag Berlin Heidelberg 2004 Asset Pricing.Clos

CLEFT

推延

expository

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:

意見一致

superfluous

defibrillator

多樣

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:

SMART

乞討

Diluge

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