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From structural assumptions to a link between assets and interest rates

  • Rei[ss], Oliver
  • Schoenmakers, John
  • Schweizer, Martin
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4JRVFPK-1/2/cb1915965e7373ecb6acd9d1df6b3b6d
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 2 (February)
    Pages: 593-612

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:2:p:593-612
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 365-388, December.
    2. Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
    3. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    4. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney.
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