Economic Foundation of Asset Price Processes Book

2 Ratings

Economic Foundation of Asset Price Processes, , Economic Foundation of Asset Price Processes

3.5 out of 5 stars based on 2 reviews

Economic Foundation of Asset Price Processes
Written by author Erik Luders
Published by Springer-Verlag New York, LLC, March 2004
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of sho

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1 Introduction 1
2 Arbitrage-free markets and the pricing kernel 5
3 The information process 15
4 Literature review 25
5 Asset returns with non-constant elasticity of the pricing kernel 49
6 Analytical asset price processes 65
7 Asset returns given stochastic volatility of the information process 81
8 Summary 87
A : Appendix 89
B : Appendix : figures 103
References 113

Title: Economic Foundation of Asset Price Processes

Manufacturer:

Steidl Publishing

Item Number: 9783790801491

Publication Date: March 2004

Number: 1

Product Description: Economic Foundation of Asset Price Processes

Universal Product Code (UPC): 9783790801491

WonderClub Stock Keeping Unit (WSKU): 9783790801491

Rating: 3.5/5 based on 2 Reviews

Image Location: https://wonderclub.com/images/covers/14/91/9783790801491.jpg

Category: Media >> Books

Weight: 0.200 kg (0.44 lbs)

Width: 0.000 cm (0.00 inches)

Heigh : 0.000 cm (0.00 inches)

Depth: 0.000 cm (0.00 inches)

Date Added: August 25, 2020, Added By: Ross

Date Last Edited: August 25, 2020, Edited By: Ross

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$99.99	Digital	Arrives between May 13 - Jun 12 Login to your account for a direct download. Some files are emailed from Dropbox. Continent $0.00 - World $0.00	WonderClub (9296 total ratings)

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Shinichi Fujimoto

reviewed Economic Foundation of Asset Price Processes on July 28, 2018

Economic Foundation of Asset Price Processes

Comprehensive and easy to digest review of statistical analysis techniques with specific examples geared towards economics.

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1	Introduction	1
2	Arbitrage-free markets and the pricing kernel	5
3	The information process	15
4	Literature review	25
5	Asset returns with non-constant elasticity of the pricing kernel	49
6	Analytical asset price processes	65
7	Asset returns given stochastic volatility of the information process	81
8	Summary	87
	A : Appendix	89
	B : Appendix : figures	103
	References	113