Risk Pricing Models: Applications

Charles S. Tapiero
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Charles S. Tapiero: Polytechnic Institute of New York University

Chapter Chapter 9 in Engineering Risk and Finance, 2013, pp 283-331 from Springer

Abstract: Abstract This chapter provides a number of examples and problems applying the pricing models set in Chaps. 7 and 8 . These models are assuming essentially that risk models are complete in the sense that states are countable and accountable while kernels are defined theoretically based on economic rationalities and practically based on parametric distributions or on ad-hoc statistical principles helpful in defining appropriate probability-state prices. A number of approaches to valuing and pricing are used to highlight their differences. Applications to debt and international assets pricing are considered as a multi-agent CCAPM model.

Keywords: Foreign Country; Credit Risk; Risk Attitude; Call Option; Risk Free Rate (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-6234-7_9

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