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100%: B.Philipp Kellerhals: Financial Pricing Models in Continuous Time and Kalman Filtering (ISBN: 9783662219010) 1973, Springer Berlin Heidelberg, in Englisch, auch als eBook.Nur diese Ausgabe anzeigen…
100%: Kellerhals, Boris Philipp (Verfasser): Financial pricing models in continuous time and Kalman filtering (ISBN: 9783540423645) 2001, in Englisch, Taschenbuch.Nur diese Ausgabe anzeigen…
Financial Pricing Models in Continuous Time and Kalman Filtering
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| Preise | Feb. 18 | Okt. 18 | Jan. 21 |
|---|---|---|---|
| Schnitt | Fr. 33.69 (€ 34.45)¹ | Fr. 38.07 (€ 38.94)¹ | Fr. 36.17 (€ 36.99)¹ |
| Nachfrage |
1
Financial Pricing Models in Continuous Time and Kalman Filtering (1973)
~EN NW EB DLISBN: 9783662219010 bzw. 3662219018, vermutlich in Englisch, Springer Shop, neu, E-Book, elektronischer Download.
Lieferung aus: Deutschland, Lagernd.
Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm. eBook.
Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm. eBook.
2
Financial Pricing Models in Continuous Time and Kalman Filtering (1973)
DE NW EB DLISBN: 9783662219010 bzw. 3662219018, in Deutsch, Springer Berlin Heidelberg, neu, E-Book, elektronischer Download.
Lieferung aus: Deutschland, Versandkostenfrei.
Financial Pricing Models in Continuous Time and Kalman Filtering: Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer- ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op- tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un- related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm. Englisch, Ebook.
Financial Pricing Models in Continuous Time and Kalman Filtering: Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer- ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op- tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un- related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm. Englisch, Ebook.
3
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Financial Pricing Models in Continuous Time and Kalman Filtering
~EN USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Springer, Berlin/Heidelberg, Deutschland, gebraucht.
Von Händler/Antiquariat, Better World Books [51315977], Mishawaka, IN, U.S.A.
Great condition for a used book! Minimal wear.
Great condition for a used book! Minimal wear.
4
Financial pricing models in continuous time and Kalman filtering (2001)
~EN PB USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Berlin ; Heidelberg ; New York ; Barcelona ; Hong Kong ; London ; Milan ; Paris ; Singapore ; Tokyo, Taschenbuch, gebraucht.
Von Händler/Antiquariat, Gebrauchtbücherlogistik H.J. Lauterbach [1047495], Gummersbach, NRW, Germany.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
5
Financial Pricing Models in Continuous Time and Kalman Filtering
~EN PB USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Springer, Berlin/Heidelberg, Deutschland, Taschenbuch, gebraucht.
Lieferung aus: Vereinigte Staaten von Amerika, Lagernd, zzgl. Versandkosten.
Softcover book. 247 pages. Published by Springer.
Softcover book. 247 pages. Published by Springer.
6
Financial pricing models in continuous time and Kalman filtering (2001)
~EN USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Berlin Heidelberg New York Barcelona Hong Kong London Milan Paris Singapore Tokyo, gebraucht.
Lieferung aus: Deutschland, Versandkosten nach: Deutschland.
Von Händler/Antiquariat, Gebrauchtbücherlogistik, [3180817].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Von Händler/Antiquariat, Gebrauchtbücherlogistik, [3180817].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
7
Financial Pricing Models in Continuous Time and Kalman Filtering. (2001)
~EN PB USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Springer, Taschenbuch, gebraucht.
Von Händler/Antiquariat, Petra Gros [1048006], Koblenz, Germany.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
8
Financial Pricing Models in Continuous Time and Kalman Filtering (Lecture Notes in Economics and Mathematical Systems) (2001)
EN PB USISBN: 9783540423645 bzw. 3540423648, in Englisch, 250 Seiten, Springer, Taschenbuch, gebraucht.
Lieferung aus: Deutschland, Versandfertig in 1 - 2 Werktagen, Versandkostenfrei. Tatsächliche Versandkosten können abweichen.
Von Händler/Antiquariat, beritberg.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Von Händler/Antiquariat, beritberg.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
9
Financial Pricing Models in Continuous Time and Kalman Filtering. (2001)
~EN USISBN: 9783540423645 bzw. 3540423648, vermutlich in Englisch, Springer, gebraucht.
Lieferung aus: Deutschland, Versandkosten nach: Deutschland.
Von Händler/Antiquariat, Petra Gros, [3076014].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Von Händler/Antiquariat, Petra Gros, [3076014].
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
10
Financial Pricing Models in Continuous Time and Kalman Filtering
DE NW EBISBN: 9783662219010 bzw. 3662219018, in Deutsch, Springer Nature, neu, E-Book.
Lieferung aus: Vereinigtes Königreich Grossbritannien und Nordirland, Lagernd.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
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