Economic Foundation of Asset Price Processes by Erik Paul LüdersEconomic Foundation of Asset Price Processes by Erik Paul Lüders

Economic Foundation of Asset Price Processes

byErik Paul Lüders

Paperback | February 3, 2004

Pricing and Purchase Info

$160.36 online 
$193.50 list price save 17%
Earn 802 plum® points

Prices and offers may vary in store

Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

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 short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.

Title:Economic Foundation of Asset Price ProcessesFormat:PaperbackDimensions:121 pagesPublished:February 3, 2004Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3790801496

ISBN - 13:9783790801491

Reviews

Table of Contents

1 Introduction.- 2 Arbitrage-Free Markets and the Pricing Kernel.- 2.1 Implications of Arbitrage-Free Markets.- 2.2 The Representative Agent Economy.- 2.3 Summary of Chapter 2.- 3 The Information Process.- 3.1 Characterization of the Economy.- 3.2 Complete Information and Constant Coefficients of the Book Value Process.- 3.3 Complete Information and Random Coefficients of the Book Value Process.- 3.3.1 Random Drift of the Book Value Process.- 3.3.2 Stochastic Volatility of the Book Value Process.- 3.4 Unknown Drift of the Book Value Process.- 3.5 Summary of Chapter 3.- 4 Literature Review.- 4.1 Empirical Literature.- 4.1.1 Asset Returns.- 4.1.2 Option Prices.- 4.1.3 Summary.- 4.2 Theoretical Literature.- 4.2.1 The Viability Discussion.- 4.2.2 Constructive Asset Pricing Models.- 4.2.3 Summary.- 4.3 Summary of Chapter 4.- 5 Asset Returns with Non-Constant Elasticity of the Pricing Kernel.- 5.1 Implications for Asset Returns in Continuous-Time.- 5.2 Implications for Asset Returns in Discrete-Time.- 5.2.1 Time-Homogeneity.- 5.2.2 Time-Series Properties of Asset Returns.- 5.3 The Explanatory Power of Multiples.- 5.4 Summary of Chapter 5.- 6 Analytical Asset Price Processes.- 6.1 A New Class of Pricing Kernels.- 6.1.1 General Characterization of Asset Prices.- 6.1.2 Example.- 6.2 HARA-Preferences.- 6.2.1 The Standard Information Process.- 6.2.2 Displaced Diffusion.- 6.2.3 Truncated Displaced Diffusion.- 6.3 Summary of Chapter 6.- 7 Asset Returns Given Stochastic Volatility of the Information Process.- 7.1 The Model.- 7.2 Summary of Chapter 7.- 8 Summary.- A Appendix.- A.1 Theorem of Feynman-Kac.- A.2 Lemma 2 of Decamps and Lazrak.- A.3 Technical Discussion of Viability in Two-Factor Models.- A.4 Proof of Lemma 1.- A.5 Proof of Corollary 1.- A.6 Proof of Proposition 4.- A.7 Derivation of Equation 6.3.- A.8 Proof of Proposition 8.- A.9 Derivation of Equation 6.17.- A.10 Proof of Corollary 2.- A.11Proof of Proposition 9.- A.12 Proof of Proposition 10.- B Appendix: Figures.- References.