Modeling Asset Prices

摘要: As an asset is traded, its varying prices trace out interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models must involve many variables relating not only to individual asset, but also class, industrial sector(s) and both local economy global economic conditions. Rather than attempting model value, we will confine our interest modeling price. assumption that price which trades "fair market price" actual Our initial is, derivative Usually instead itself, consider relative change rate return, over interval time. The purpose pricing for prediction future prices; rather provide description stochastic behavior prices. Models changes have number uses, including, investors, optimal construction portfolios assets and, regulators, maintaining fair orderly market. A major motivation developing given use those develop depend on assets.