Option pricing and Esscher transform under regime switching. Zbl 1233.91270
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen |
|
2005
|
Affine fractional stochastic volatility models. Zbl 1298.60067
Comte, F.; Coutin, L.; Renault, E. |
|
2012
|
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter |
|
2010
|
Estimation and pricing under long-memory stochastic volatility. Zbl 1298.91160
Chronopoulou, Alexandra; Viens, Frederi G. |
|
2012
|
Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244
Fernholz, Robert; Karatzas, Ioannis |
|
2005
|
Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris |
|
2014
|
Robust consumption and portfolio choice for time varying investment opportunities. Zbl 1233.91248
Liu, Hening |
|
2010
|
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy |
|
2020
|
Risk measure pricing and hedging in incomplete markets. Zbl 1233.91291
Xu, Mingxin |
|
2006
|
Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey |
|
2014
|
Maximum likelihood estimation of the double exponential jump-diffusion process. Zbl 1233.91330
Ramezani, Cyrus A.; Zeng, Yong |
|
2007
|
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B. |
|
2015
|
Optimal portfolio allocation with higher moments. Zbl 1233.91238
Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando |
|
2008
|
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil |
|
2017
|
Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198
Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner |
|
2013
|
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model. Zbl 1233.91117
Dempster, M. A. H.; Evstigneev, I. V.; Taksar, M. I. |
|
2006
|
An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai |
|
2013
|
American options: the EPV pricing model. Zbl 1233.91258
Boyarchenko, Svetlana; Levendorskii, Sergei |
|
2005
|
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
Madan, Dilip B. |
|
2012
|
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia |
|
2008
|
Short-term relative arbitrage in volatility-stabilized markets. Zbl 1233.91234
Banner, Adrian D.; Fernholz, Daniel |
|
2008
|
Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei |
|
2015
|
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis |
|
2013
|
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc |
|
2014
|
Prospect and Markowitz stochastic dominance. Zbl 1233.91098
Wong, W.-K.; Chan, R. H. |
|
2008
|
Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien |
|
2015
|
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin |
|
2019
|
Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard |
|
2015
|
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck |
|
2019
|
Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147
Rásonyi, Miklós; Rodrigues, Andrea M. |
|
2013
|
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung |
|
2008
|
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki |
|
2017
|
Stochastic volatility and stochastic leverage. Zbl 1298.60070
Veraart, Almut E. D.; Veraart, Luitgard A. M. |
|
2012
|
Statistical estimation of Lévy-type stochastic volatility models. Zbl 1298.62146
Figueroa-López, José E. |
|
2012
|
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A. |
|
2012
|
Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342
Osterrieder, Jörg R.; Rheinländer, Thorsten |
|
2006
|
Capital market equilibrium without riskless assets: heterogeneous expectations. Zbl 1233.91123
Won, D.; Hahn, G.; Yannelis, N. C. |
|
2008
|
Irreversible investment and discounting: an arbitrage pricing approach. Zbl 1233.91312
Thijssen, Jacco J. J. |
|
2010
|
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis |
|
2015
|
On user costs of risky monetary assets. Zbl 1233.91114
Barnett, William A.; Wu, Shu |
|
2005
|
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B. |
|
2016
|
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa |
|
2014
|
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław |
|
2015
|
Implied and realized volatility: empirical model selection. Zbl 1298.91197
Zhang, Lan |
|
2012
|
Dynamic capital structure and the contingent capital option. Zbl 1298.91181
Barucci, Emilio; Del Viva, Luca |
|
2013
|
Determinants of stock market volatility and risk premia. Zbl 1233.91326
Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio |
|
2005
|
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S. |
|
2008
|
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang |
|
2008
|
Robust portfolio optimization with a generalized expected utility model under ambiguity. Zbl 1233.91249
Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin |
|
2008
|
Short note on inf-convolution preserving the Fatou property. Zbl 1233.91138
Acciaio, Beatrice |
|
2009
|
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan |
|
2010
|
Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J. |
|
2015
|
Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico |
|
2015
|
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C. |
|
2020
|
Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170
Brignone, Riccardo; Sgarra, Carlo |
|
2020
|
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia |
|
2015
|
Strategic asset allocation with switching dependence. Zbl 1298.91138
Hainaut, Donatien; MacGilchrist, Renaud |
|
2012
|
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen |
|
2013
|
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo |
|
2013
|
Negative call prices. Zbl 1298.91168
Ruf, Johannes |
|
2013
|
Heterogeneous beliefs, the term structure and time-varying risk premia. Zbl 1233.91144
Fan, Min |
|
2006
|
Balance, growth and diversity of financial markets. Zbl 1233.91339
Kardaras, Constantinos |
|
2008
|
A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. Zbl 1233.91191
Buera, Francisco J. |
|
2009
|
Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume |
|
2015
|
Momentum and reversal in financial markets with persistent heterogeneity. Zbl 1431.91375
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele |
|
2019
|
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail |
|
2020
|
Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161
Strong, Winslow; Fouque, Jean-Pierre |
|
2011
|
How suboptimal are linear sharing rules? Zbl 1398.91528
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase |
|
2016
|
Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514
Garnier, Josselin; Sølna, Knut |
|
2018
|
Optimal dynamic basis trading. Zbl 1426.91260
Angoshtari, Bahman; Leung, Tim |
|
2019
|
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael |
|
2016
|
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Zbl 1298.91089
Faria, Gonçalo; Correia-da-Silva, João |
|
2012
|
On the necessity of five risk measures. Zbl 1298.91193
Guégan, Dominique; Tarrant, Wayne |
|
2012
|
Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps. Zbl 1233.91295
Levendorskiĭ, Sergei |
|
2006
|
Switching to a poor business activity: optimal capital structure, agency costs and covenant rules. Zbl 1233.91304
Décamps, Jean-Paul; Djembissi, Bertrand |
|
2007
|
Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. Zbl 1233.91116
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. |
|
2008
|
On the neutrality of debt in investment intensity. Zbl 1233.91313
Wong, Kit Pong |
|
2010
|
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia |
|
2015
|
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo |
|
2017
|
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks. Zbl 1219.91127
Ibragimov, Rustam; Walden, Johan |
|
2011
|
Real options with unknown-date events. Zbl 1225.91066
Gutiérrez, Oscar; Ruiz-Aliseda, Francisco |
|
2011
|
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim |
|
2019
|
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441
Roberts, Michael; SenGupta, Indranil |
|
2020
|
The pricing kernel puzzle: survey and outlook. Zbl 1398.91576
Cuesdeanu, Horatio; Jackwerth, Jens Carsten |
|
2018
|
Relative performance concerns among investment managers. Zbl 1417.91485
Whitmeyer, Mark |
|
2019
|
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. Zbl 1480.91293
Salmon, Nicholas; SenGupta, Indranil |
|
2021
|
Benchmark-based evaluation of portfolio performance: a characterization. Zbl 1398.91497
Alekseev, Aleksandr G.; Sokolov, Mikhail V. |
|
2016
|
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Zbl 1298.91206
Peng, Yue; Ng, Wing Lon |
|
2012
|
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. Zbl 1298.91141
Kim, Ha-Young; Viens, Frederi G. |
|
2012
|
Technological advances and the decision to invest. Zbl 1298.91183
Flor, Christian Riis; Hansen, Simon Lysbjerg |
|
2013
|
Generalized volatility-stabilized processes. Zbl 1298.91146
Picková, Radka |
|
2014
|
On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey |
|
2014
|
The inescapable need for fractal tools in finance. Zbl 1233.91345
Mandelbrot, Benoit B. |
|
2005
|
The non-neutrality of debt in investment timing: a new NPV rule. Zbl 1233.91301
Sabarwal, Tarun |
|
2005
|
Financial distress, bankruptcy law and the business cycle. Zbl 1233.91198
Suarez, Javier; Sussman, Oren |
|
2007
|
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc |
|
2007
|
Who controls Allianz? Measuring the separation of dividend and control rights under cross-ownership among firms. Zbl 1233.91068
Dorofeenko, Victor; Lang, Larry H. P.; Ritzberger, Klaus; Shorish, Jamsheed |
|
2008
|
Technology driven organizational structure of the firm. Zbl 1233.91167
van den Brink, René; Ruys, Pieter H. M. |
|
2008
|
Valuation before and after tax in the discrete time, finite state no arbitrage model. Zbl 1233.91193
Jensen, Bjarne Astrup |
|
2009
|
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim |
|
2017
|
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies. Zbl 1520.91384
Cherif, Dorsaf; Lépinette, Emmanuel |
|
2023
|
A behavioral approach to inconsistencies in intertemporal choices with the analytic hierarchy process methodology. Zbl 1520.91396
Ventre, Viviana; Rambaud Salvador, Cruz; Martino, Roberta; Maturo, Fabrizio |
|
2023
|
Nonparametric estimates of option prices via Hermite basis functions. Zbl 1530.91571
Marinelli, Carlo; d’Addona, Stefano |
|
2023
|
Portfolio selection in quantile decision models. Zbl 1492.91322
de Castro, Luciano; Galvao, Antonio F.; Montes-Rojas, Gabriel; Olmo, Jose |
|
2022
|
Options on bonds: implied volatilities from affine short-rate dynamics. Zbl 1492.91382
Lorig, Matthew; Suaysom, Natchanon |
|
2022
|
Derivatives-based portfolio decisions: an expected utility insight. Zbl 1492.91323
Escobar-Anel, Marcos; Davison, Matt; Zhu, Yichen |
|
2022
|
Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate. Zbl 1492.91412
Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni |
|
2022
|
Optimal group size in microlending. Zbl 1509.91041
Protter, Philip; Quintos, Alejandra |
|
2022
|
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. Zbl 1480.91293
Salmon, Nicholas; SenGupta, Indranil |
|
2021
|
Valuation of R&D compound option using Markov chain approach. Zbl 1473.91028
D’Amico, Guglielmo; Villani, Giovanni |
|
2021
|
Equilibrium asset pricing and the cross section of expected returns. Zbl 1470.91298
Vanden, Joel M. |
|
2021
|
On modifications of the Bachelier model. Zbl 1470.91262
Melnikov, Alexander; Wan, Hongxi |
|
2021
|
On the money creation approach to banking. Zbl 1476.91097
Faure, Salomon; Gersbach, Hans |
|
2021
|
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy |
|
2020
|
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C. |
|
2020
|
Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170
Brignone, Riccardo; Sgarra, Carlo |
|
2020
|
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail |
|
2020
|
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441
Roberts, Michael; SenGupta, Indranil |
|
2020
|
The price leadership share: a new measure of price discovery in financial markets. Zbl 1461.91295
De Blasis, Riccardo |
|
2020
|
Fundamental theorem of asset pricing under fixed and proportional transaction costs. Zbl 1461.91325
Brown, Martin; Zastawniak, Tomasz |
|
2020
|
Optimal trading of a basket of futures contracts. Zbl 1443.91282
Angoshtari, Bahman; Leung, Tim |
|
2020
|
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. Zbl 1437.91435
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; Fabozzi, Frank J. |
|
2020
|
Development banking under weak institutions and imperfect credit markets. Zbl 1461.91306
Senra Hodelin, Reynaldo |
|
2020
|
Forecasting volatility in bitcoin market. Zbl 1461.91305
Segnon, Mawuli; Bekiros, Stelios |
|
2020
|
Proper measures of connectedness. Zbl 1461.91341
Maggi, Mario; Torrente, Maria-Laura; Uberti, Pierpaolo |
|
2020
|
Leakage of rank-dependent functionally generated trading strategies. Zbl 1461.91285
Xie, Kangjianan |
|
2020
|
An evolutionary finance model with a risk-free asset. Zbl 1461.91268
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten |
|
2020
|
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin |
|
2019
|
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck |
|
2019
|
Momentum and reversal in financial markets with persistent heterogeneity. Zbl 1431.91375
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele |
|
2019
|
Optimal dynamic basis trading. Zbl 1426.91260
Angoshtari, Bahman; Leung, Tim |
|
2019
|
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim |
|
2019
|
Relative performance concerns among investment managers. Zbl 1417.91485
Whitmeyer, Mark |
|
2019
|
Implied liquidity risk premia in option markets. Zbl 07075028
Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim |
|
2019
|
Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey |
|
2019
|
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Zbl 1410.91499
Leung, Tim; Wang, Zheng |
|
2019
|
Endogenous heterogeneity in duopoly with deterministic one-way spillovers. Zbl 1410.91317
Gama, Adriana; Maret, Isabelle; Masson, Virginie |
|
2019
|
Change point dynamics for financial data: an indexed Markov chain approach. Zbl 1417.91564
D’Amico, Guglielmo; Lika, Ada; Petroni, Filippo |
|
2019
|
Vanishing central bank intervention in stochastic impulse control. Zbl 1410.91343
Gagnon, Gregory |
|
2019
|
Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy. Zbl 1426.91302
Buckley, Winston; Perera, Sandun |
|
2019
|
Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514
Garnier, Josselin; Sølna, Knut |
|
2018
|
The pricing kernel puzzle: survey and outlook. Zbl 1398.91576
Cuesdeanu, Horatio; Jackwerth, Jens Carsten |
|
2018
|
On relative performance, remuneration and risk taking of asset managers. Zbl 1418.91450
Barucci, Emilio; La Bua, Gaetano; Marazzina, Daniele |
|
2018
|
Systemic risk in Europe: deciphering leading measures, common patterns and real effects. Zbl 1462.62643
Stolbov, Mikhail; Shchepeleva, Maria |
|
2018
|
What determines the share of non-resident public debt ownership? Evidence from Euro area countries. Zbl 1398.91442
Jalles, João Tovar |
|
2018
|
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. Zbl 1397.91572
Krasin, Vladislav; Smirnov, Ivan; Melnikov, Alexander |
|
2018
|
Financial equilibrium with non-linear valuations. Zbl 1397.91228
Madan, Dilip B. |
|
2018
|
Asset market equilibrium with liquidity risk. Zbl 1397.91557
Jarrow, Robert |
|
2018
|
Barrier style contracts under Lévy processes once again. Zbl 1388.91141
Fajardo, José |
|
2018
|
Bubbles, growth and imperfection of credit market in a two-country model. Zbl 1398.91432
Shimizu, Ryosuke |
|
2018
|
Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension. Zbl 1398.91170
Cruz Rambaud, Salvador; González Fernández, Isabel; Ventre, Viviana |
|
2018
|
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil |
|
2017
|
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki |
|
2017
|
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo |
|
2017
|
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim |
|
2017
|
Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. Zbl 1411.91647
Pederzoli, Chiara; Torricelli, Costanza |
|
2017
|
Quadratic minimization with portfolio and intertemporal wealth constraints. Zbl 1411.91533
Zhu, Dian; Heunis, Andrew J. |
|
2017
|
Counterparty risk, central counterparty clearing and aggregate risk. Zbl 1411.91551
Deng, Binbin |
|
2017
|
Threat of termination and firm innovation. Zbl 1398.91372
Sheikh, Shahbaz |
|
2017
|
Portfolio selections under mean-variance preference with multiple priors for means and variances. Zbl 1398.91546
Shigeta, Yuki |
|
2017
|
Financial market globalization, nonconvergence and credit cycles. Zbl 1388.91131
Ho, Wai-Hong |
|
2017
|
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation. Zbl 1411.91607
Gan, Liu; Yang, Zhaojun |
|
2017
|
\(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? Zbl 1411.91505
Haley, M. Ryan |
|
2017
|
The dampening effect of iceberg orders on small traders’ welfare, a real options perspective. Zbl 1411.91604
Delaney, Laura; Kovaleva, Polina |
|
2017
|
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B. |
|
2016
|
How suboptimal are linear sharing rules? Zbl 1398.91528
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase |
|
2016
|
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael |
|
2016
|
Benchmark-based evaluation of portfolio performance: a characterization. Zbl 1398.91497
Alekseev, Aleksandr G.; Sokolov, Mikhail V. |
|
2016
|
Adapted hedging. Zbl 1398.91608
Madan, Dilip B. |
|
2016
|
Saddlepoint approximations to option price in a regime-switching model. Zbl 1398.91622
Zhang, Mengzhe; Chan, Leunglung |
|
2016
|
Risk premia in option markets. Zbl 1398.91607
Madan, Dilip B. |
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2016
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The skewness risk premium in equilibrium and stock return predictability. Zbl 1398.91692
Sasaki, Hiroshi |
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2016
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Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip |
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2016
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Monetary policy games, financial instability and incomplete information. Zbl 1398.91435
Barrett, Charles Richard; Kokores, Ioanna; Sen, Somnath |
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2016
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Optimal capital structures for private firms. Zbl 1398.91660
Vanden, Joel M. |
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2016
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Impact of risk aversion and countervailing tax in oligopoly. Zbl 1398.91403
Jin, Jim Y.; Kobayashi, Shinji |
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2016
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Credit risk analysis with creditor’s option to extend maturities. Zbl 1398.91644
Ikeda, Ryoichi; Igarashi, Yoske |
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2016
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On the impact of macroeconomic news surprises on treasury-bond returns. Zbl 1398.91581
El Ouadghiri, Imane; Mignon, Valérie; Boitout, Nicolas |
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2016
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Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B. |
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2015
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Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei |
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2015
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Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien |
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2015
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Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard |
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2015
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Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis |
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2015
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Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław |
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2015
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Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J. |
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2015
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Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico |
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2015
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Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia |
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2015
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Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume |
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2015
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Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia |
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2015
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Robustness of equilibrium in the Kyle model of informed speculation. Zbl 1369.91064
Boulatov, Alex; Bernhardt, Dan |
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2015
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Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi |
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2015
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Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris |
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2014
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Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey |
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2014
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Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc |
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2014
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Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa |
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2014
|
Generalized volatility-stabilized processes. Zbl 1298.91146
Picková, Radka |
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2014
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On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey |
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2014
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Stability of marketable payoffs with long-term assets. Zbl 1318.91140
Bonnisseau, Jean-Marc; Chery, Achis |
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2014
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Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. Zbl 1298.91096
Fard, Farzad Alavi; Rong, Ning |
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2014
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Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139
Haley, M. Ryan |
|
2014
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...and 133 more Documents |