Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 26 (2003)
Issue (Month): 2 (November)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
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- I. Bajeux-Besnainou & R. Portait, 1997. "The numeraire portfolio: a new perspective on financial theory," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 291-309.
- Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
- Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239.
- J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
- Bardhan, Indrajit & Chao, Xiuli, 1996. "On martingale measures when asset returns have unpredictable jumps," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 35-54, October.
- Tahir Choulli & Jun Deng & Junfeng Ma, 2012. "The Fundamental Theorem of Utility Maximization and Num\'eraire Portfolio," Papers 1211.4598, arXiv.org, revised Nov 2012.
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