Financial Pricing Models in Continuous Time and Kalman Filtering Book

1	Overview of the Study	1
I	Modeling and Estimation Principles	5
2	Stochastic Environment	7
3	State Space Notation	11
4	Filtering Algorithms	15
5	Parameter Estimation	29
II	Pricing Equities	35
6	Introduction	37
7	Valuation Model	43
8	First Empirical Results	55
9	Implications for Investment Strategies	71
10	Summary and Conclusions	83
III	Term Structure Modeling	85
11	Introduction	87
12	Term Structure Model	97
13	Initial Characteristic Results	105
14	Risk Management and Derivatives Pricing	129
15	Calibration to Standard Instruments	147
16	Summary and Conclusions	175
IV	Pricing Electricity Forwards	177
17	Introduction	179
18	Electricity Pricing Model	189
19	Empirical Inference	201
20	Summary and Conclusions	221
	List of Symbols and Notation	223
	List of Tables	227
	List of Figures	229
	Bibliography	231