Christopeit, Norbert; Musiela, Marek On the existence and characterization of arbitrage-free measures in contingent claim valuation. (English) Zbl 0806.60050 Stochastic Anal. Appl. 12, No. 1, 41-63 (1994). Reviewer: G.Gomez (Erlangen) MSC: 60H30 91B99 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Delbaen, Freddy; Schachermayer, Walter Arbitrage and free lunch with bounded risk for unbounded continuous processes. (English) Zbl 0884.90024 Math. Finance 4, No. 4, 343-348 (1994). MSC: 91B28 60G35 91B62 × Cite Format Result Cite Review PDF Full Text: DOI
Yadav, Pradeep K.; Pope, Peter F.; Paudyal, Krishna Threshold autoregressive modeling in finance: The price differences of equivalent assets. (English) Zbl 0884.90066 Math. Finance 4, No. 2, 205-221 (1994). MSC: 91B84 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Schachermayer, W. Martingale measures for discrete-time processes with infinite horizon. (English) Zbl 0893.90017 Math. Finance 4, No. 1, 25-55 (1994). MSC: 91B28 60G35 × Cite Format Result Cite Review PDF Full Text: DOI
Aase, Knut K. Premiums in a dynamic model of a reinsurance market. (English) Zbl 0793.62060 Scand. Actuarial J. 1993, No. 2, 134-160 (1993). MSC: 62P05 91B30 × Cite Format Result Cite Review PDF
Kusuoka, Shigeo A remark on arbitrage and martingale measure. (English) Zbl 0807.90009 Publ. Res. Inst. Math. Sci. 29, No. 5, 833-840 (1993). MSC: 91B28 60G44 46E30 × Cite Format Result Cite Review PDF Full Text: DOI
Clark, Stephen A. The valuation problem in arbitrage price theory. (English) Zbl 0793.90008 J. Math. Econ. 22, No. 5, 463-478 (1993). Reviewer: S.A.Clark (Lexington, U.S.A.) MSC: 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Ansel, Jean-Pascal; Stricker, Christophe Martingale laws, densities and decomposition of Föllmer-Schweizer. (Lois de martingale, densités et décomposition de Föllmer-Schweizer.) (French) Zbl 0772.60033 Ann. Inst. Henri Poincaré, Probab. Stat. 28, No. 3, 375-392 (1992). Reviewer: I.Cuculescu (Bucureşti) MSC: 60G44 60H05 × Cite Format Result Cite Review PDF Full Text: Numdam EuDML
Nau, Robert F. Joint coherence in games of incomplete information. (English) Zbl 0764.90095 Manage. Sci. 38, No. 3, 374-387 (1992). MSC: 91A10 × Cite Format Result Cite Review PDF Full Text: DOI
Schachermayer, W. A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. (English) Zbl 0781.90010 Insur. Math. Econ. 11, No. 4, 249-257 (1992). MSC: 91B24 91B62 × Cite Format Result Cite Review PDF Full Text: DOI
Mikaelyan, O. S. Investigation of the Nash arbitration scheme in a dynamic problem. (Armenian. Russian, English summaries) Zbl 0913.90284 Uch. Zap. Erevan. Gos. Univ., Estestv. Nauki 1992, No. 1(178), 29-33 (1992). MSC: 91A23 91A12 × Cite Format Result Cite Review PDF
Jones, Chris; Milne, Frank Tax arbitrage, existence of equilibrium, and bounded tax rebates. (English) Zbl 0900.90260 Math. Finance 2, No. 3, 189-196 (1992). MSC: 91B64 91B52 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Ōhashi, Kazuhiko A note on the terminal date security prices in a continuous time trading model with dividends. (English) Zbl 0737.90010 J. Math. Econ. 20, No. 2, 219-223 (1991). MSC: 91B62 91B60 × Cite Format Result Cite Review PDF Full Text: DOI
Gilles, Christian; LeRoy, Stephen F. On the arbitrage pricing theory. (English) Zbl 0807.90019 Econ. Theory 1, No. 3, 213-229 (1991). MSC: 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Ritchken, P.; Kamrad, B. A binomial contingent claims model for valuing risky ventures. (English) Zbl 0726.90010 Eur. J. Oper. Res. 53, No. 1, 106-118 (1991). MSC: 91B28 91B30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Allen, Franklin; Gale, Douglas Arbitrage, short sales, and financial innovation. (English) Zbl 0724.90008 Econometrica 59, No. 4, 1041-1068 (1991). MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Sondermann, Dieter Reinsurance in arbitrage-free markets. (English) Zbl 0739.62078 Insur. Math. Econ. 10, No. 3, 191-202 (1991). MSC: 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Elliott, Robert J.; Kopp, P. Ekkehard Equivalent martingale measures for bridge processes. (English) Zbl 0744.60048 Stochastic Anal. Appl. 9, No. 4, 429-444 (1991). Reviewer: J.Jakubowski (Warszawa) MSC: 60G44 60J65 60H99 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Dutta, Jayasri; Polemarchakis, Heraklis Asset pricing and observability. (English) Zbl 0785.90021 Equilibrium theory and applications, Proc. 6th Int. Symp. Econ. Theory Econ., Louvain-la-Neuve/Belg. 1989, 9-30 (1991). Reviewer: S.Turnbull (Columbus / Ohio) MSC: 91B24 × Cite Format Result Cite Review PDF
Brenner, Robin J.; Denny, J. L. Arbitrage values generally depend on a parametric rate of return. (English) Zbl 0900.90108 Math. Finance 1, No. 3, 45-52 (1991). MSC: 91B24 91B62 × Cite Format Result Cite Review PDF Full Text: DOI
Dermody, Jaime Cuevas; Rockafellar, R. Tyrrell Cash stream valuation in the face of transaction costs and taxes. (English) Zbl 0900.90110 Math. Finance 1, No. 1, 31-54 (1991). MSC: 91B24 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Ellerman, David P. An arbitrage interpretation of classical optimization. (English) Zbl 0728.90015 Metroeconomica 41, No. 3, 259-276 (1990). MSC: 91B50 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Vorst, Ton Probability theory in finance. (English) Zbl 0728.90011 Nieuw Arch. Wiskd., IV. Ser. 8, No. 3, 399-412 (1990). Reviewer: Ton Vorst MSC: 91B28 91B62 91B24 × Cite Format Result Cite Review PDF
Sharp, Keith P. Stochastic differential equations in finance. (English) Zbl 0719.90008 Appl. Math. Comput. 39, No. 3, Suppl., 207s-224s (1990). Reviewer: J.K.Sengupta (Santa Barbara) MSC: 91B28 90-02 60H10 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Delbaen, F.; Haezendonck, J. A martingale approach to premium calculation principles in an arbitrage free market. (English) Zbl 0724.62102 Insur. Math. Econ. 8, No. 4, 269-277 (1989). Reviewer: A.Reich (Köln) MSC: 62P05 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Rotar’, V. I. On a maximally incentive bargaining scheme. (Russian) Zbl 0692.90105 Èkon. Mat. Metody 25, No. 5, 862-868 (1989). Reviewer: A.Wieczorek MSC: 91A12 91A05 × Cite Format Result Cite Review PDF
Cerchi, M. State space methods in asset pricing. (English) Zbl 0683.90020 Comput. Math. Appl. 18, No. 6-7, 581-590 (1989). MSC: 91B62 91B24 62P20 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Gardiner, Joseph C.; Levental, Shlomo On pricing of market-indexed certificates of deposit. (English) Zbl 0676.90003 Stat. Probab. Lett. 8, No. 4, 329-334 (1989). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Beekman, John A.; Shiu, Elias S. W. Stochastic models for bond prices, function space integrals and immunization theory. (English) Zbl 0685.62085 Insur. Math. Econ. 7, No. 3, 163-173 (1988). MSC: 62P05 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
van Hulle, Cynthia Option pricing methods: an overview. (English) Zbl 0665.90009 Insur. Math. Econ. 7, No. 3, 139-152 (1988). MSC: 91G20 91-02 × Cite Format Result Cite Review PDF Full Text: DOI
Duffie, Darrell Security markets. Stochastic models. (English) Zbl 0661.90001 Economic Theory, Econometrics, and Mathematical Economics. Boston, MA: Academic Press, Inc. xx, 358 p. £44.95 (1988). Reviewer: M.A.Khan MSC: 91B50 91B62 90-02 60G35 60H05 × Cite Format Result Cite Review PDF
Milne, Frank Arbitrage and diversification in a general equilibrium asset economy. (English) Zbl 0658.90014 Econometrica 56, No. 4, 815-840 (1988). Reviewer: C.Weddepohl MSC: 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Reisman, Haim A general approach to the arbitrage pricing theory (APT). (English) Zbl 0641.90018 Econometrica 56, No. 2, 473-476 (1988). MSC: 91B24 × Cite Format Result Cite Review PDF Full Text: DOI
Werner, Jan Arbitrage and the existence of competitive equilibrium. (English) Zbl 0648.90006 Econometrica 55, No. 6, 1403-1418 (1987). Reviewer: C.Weddepohl MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Cheng, Harrison H. C. The coalitional approach to core theory. (English) Zbl 0636.90011 J. Math. Econ. 16, 247-258 (1987). MSC: 91B50 91A12 91A40 × Cite Format Result Cite Review PDF Full Text: DOI
Page, Frank H. jun. On equilibrium in Hart’s securities exchange model. (English) Zbl 0618.90019 J. Econ. Theory 41, 392-404 (1987). MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Müller, Sigrid Arbitrage pricing of contingent claims. (English) Zbl 0587.90005 Lecture Notes in Economics and Mathematical Systems, 254. Berlin etc.: Springer-Verlag. VIII, 151 p. DM 33.00 (1985). Reviewer: S.Berninghaus MSC: 91B62 91B24 90-02 × Cite Format Result Cite Review PDF
Wilhelm, Jochen E. M. Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing. (English) Zbl 0587.90004 Lecture Notes in Economics and Mathematical Systems, 245. Berlin etc.: Springer-Verlag. vii, 114 p. DM 27.00 (1985). Reviewer: Bertram Schefold (Frankfurt am Main) MSC: 91G10 91-02 91B25 × Cite Format Result Cite Review PDF
Albrecht, Peter A note on immunization under a general stochastic equilibrium model of the term structure. (English) Zbl 0587.62190 Insur. Math. Econ. 4, 239-244 (1985). Reviewer: E.Shiu MSC: 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Admati, Anat R.; Pfleiderer, Paul Interpreting the factor risk premia in the arbitrage pricing theory. (English) Zbl 0555.90016 J. Econ. Theory 35, 191-195 (1985). MSC: 91B24 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Connor, Gregory A unified beta pricing theory. (English) Zbl 0545.90009 J. Econ. Theory 34, 13-31 (1984). Reviewer: P.J.Deschamps MSC: 91B50 91B28 91B24 × Cite Format Result Cite Review PDF Full Text: DOI Link
Franke, G. On tests of the arbitrage pricing theory. (English) Zbl 0535.90010 OR Spektrum 6, 109-117 (1984). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Ellerman, David P. Arbitrage theory: A mathematical introduction. (English) Zbl 0534.90014 SIAM Rev. 26, 241-261 (1984). MSC: 91B50 05C99 90B10 90C90 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mirman, Leonard J.; Reisman, Haim Price taking behavior and trading in options. (English) Zbl 0532.90011 J. Econ. Theory 32, 377-383 (1984). MSC: 91B24 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chamberlain, Gary Funds, factors, and diversification in arbitrage pricing models. (English) Zbl 0523.90018 Econometrica 51, 1305-1323 (1983). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Chamberlain, Gary; Rothschild, Michael Arbitrage, factor structure, and mean-variance analysis on large asset markets. (English) Zbl 0523.90017 Econometrica 51, 1281-1304 (1983). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mas-Colell, Andreu Perfect competition and the core. (English) Zbl 0533.90020 Rev. Econ. Stud. 49, 15-30 (1982). MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI Link
Huberman, Gur A simple approach to arbitrage pricing theory. (English) Zbl 0519.90017 J. Econ. Theory 28, 183-191 (1982). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Sethi, S. P.; Derzko, N. A.; Lehoczky, J. P. Mathematical analysis of the Miller-Modigliani theory. (English) Zbl 0488.90041 Oper. Res. Lett. 1, 148-152 (1982). MSC: 90B99 × Cite Format Result Cite Review PDF Full Text: DOI
Kreps, David M. Arbitrage and equilibrium in economies with infinitely many commodities. (English) Zbl 0454.90010 J. Math. Econ. 8, 15-35 (1981). MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Milne, Frank Short-selling, default risk and the existence of equilibrium in a securities model. (English) Zbl 0461.90009 Int. Econ. Rev. 21, 255-267 (1980). MSC: 91B50 × Cite Format Result Cite Review PDF Full Text: DOI
Harrison, J. Michael; Kreps, David M. Martingales and arbitrage in multiperiod securities markets. (English) Zbl 0431.90019 J. Econ. Theory 20, 381-408 (1979). MSC: 91G20 91B26 60B05 × Cite Format Result Cite Review PDF Full Text: DOI