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Structural Framework for the Pricing of Corporate Securities
Michael Genser
€ 68.37
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Description for Structural Framework for the Pricing of Corporate Securities
Paperback. A treatment of structural credit risk models for simultaneous and consistent pricing of corporate securities. This book takes us from the economic principles of firm value models to the empirical implementation, through the development of an economic framework. It provides exposition of corporate securities pricing for academics and practitioners. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 208 pages, biography. BIC Classification: KFFM. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 229 x 152 x 11. Weight in Grams: 670.
In the last few years, a re?ned pricing of corporate securities has come intofocusofacademicsandpractitioners.Asempiricalresearchshowed, traditionalassetpricingmodelscouldnotpricecorporatesecuritiess- ?ciently well. Time series properties of quoted securities were di?cult to replicate. In the search for more advanced models that capture the empirical ?ndings, researchers followed two approaches. The ?rst stream of - search ?tted the time series properties of corporate securities directly. Werefertothisclassofmodelsasbeingofreducedform.Securityprices are assumed to follow more advanced stochastic models, in particular 1 models withe.g. non-constant volatility. All studiesofthistypedonot consider the economics of the issuing companies but simply assume a stochastic behavior of the security or its state variables. In contrast, a second, ... Read more
In the last few years, a re?ned pricing of corporate securities has come intofocusofacademicsandpractitioners.Asempiricalresearchshowed, traditionalassetpricingmodelscouldnotpricecorporatesecuritiess- ?ciently well. Time series properties of quoted securities were di?cult to replicate. In the search for more advanced models that capture the empirical ?ndings, researchers followed two approaches. The ?rst stream of - search ?tted the time series properties of corporate securities directly. Werefertothisclassofmodelsasbeingofreducedform.Securityprices are assumed to follow more advanced stochastic models, in particular 1 models withe.g. non-constant volatility. All studiesofthistypedonot consider the economics of the issuing companies but simply assume a stochastic behavior of the security or its state variables. In contrast, a second, ... Read more
Product Details
Format
Paperback
Publication date
2005
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
208
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
188
Place of Publication
Berlin, Germany
ISBN
9783540286837
SKU
V9783540286837
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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