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Frank Milne

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Frank Milne & David Longworth, 2020. "Preparing for Future Pandemics: Stress Tests and Wargames," Working Paper 1437, Economics Department, Queen's University.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Preparation > Crisis management
  2. Frank Milne & David Longworth, 2020. "Covid-19 and the Lack of Public Health and Government Preparation," Working Paper 1436, Economics Department, Queen's University.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Preparation
  3. David Longworth & Frank Milne, 2021. "Public Health and Government Preparations For Future Pandemics," Working Paper 1451, Economics Department, Queen's University.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Preparation > Crisis management

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Author Profile
    1. Frank Milne in Wikipedia (English)

Working papers

  1. Pejman Bahramian & Glenn P. Jenkins & Frank Milne, 2021. "A Stakeholder Analysis of Investments in Wind Power Electricity Generation in Ontario," Development Discussion Papers 2021-07, JDI Executive Programs.

    Cited by:

    1. Hashemi, Majid & Jenkins, Glenn & Milne, Frank, 2023. "Rooftop solar with net metering: An integrated investment appraisal," Renewable and Sustainable Energy Reviews, Elsevier, vol. 188(C).
    2. Pejman Bahramian, 2021. "Integration of wind power into an electricity system using pumped-storage: Economic challenges and stakeholder impacts," Working Paper 1480, Economics Department, Queen's University.
    3. Pejman Bahramian & Glenn P. Jenkins & Frank Milne, 2023. "Integration Of Wind Power into An Electricity System Using Pumped Storage: Economic Challenges and Stakeholder Impacts," Development Discussion Papers 2023-07, JDI Executive Programs.
    4. Bahramian, Pejman & Jenkins, Glenn P. & Milne, Frank, 2021. "A stakeholder analysis of investments in wind power electricity generation in Ontario," Energy Economics, Elsevier, vol. 103(C).
    5. Foroogh Nazari Chamaki & Hatice Jenkins & Majid Hashemipour & Glenn P. Jenkins, 2022. "Wastewater Reuse to Mitigate the Risk of Water Shortages: An Integrated Investment Appraisal," Development Discussion Papers 2022-15, JDI Executive Programs.

  2. David Longworth & Frank Milne, 2021. "Public Health and Government Preparations For Future Pandemics," Working Paper 1451, Economics Department, Queen's University.

    Cited by:

    1. David Longworth & Frank Milne, 2021. "Parallels Between Financial Regulation Prior to the Global Financial Crisis and Lack of Public Health Preparation Prior to Covid-19," Working Paper 1455, Economics Department, Queen's University.

  3. Pejman Bahramian & Glenn Jenkins & Frank Milne, 2020. "The Displacement Impacts of Wind Power Electricity Generation: Costly Lessons from Ontario," Working Paper 1440, Economics Department, Queen's University.

    Cited by:

    1. Jiarong Shi & Zihao Jiang & Biao Luo, 2022. "Economic policy, regulatory policy, or soft policy: Which category of policy can effectively improve the green innovation of Chinese wind power industry?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(6), pages 2284-2298, September.
    2. Pejman Bahramian, 2021. "Integration of wind power into an electricity system using pumped-storage: Economic challenges and stakeholder impacts," Working Paper 1480, Economics Department, Queen's University.
    3. Pejman Bahramian & Glenn Jenkins & Frank Milne, 2020. "A stakeholder analysis of investments for wind power electricity generation in Ontario," Working Paper 1442, Economics Department, Queen's University.
    4. Bahramian, Pejman & Jenkins, Glenn P. & Milne, Frank, 2021. "A stakeholder analysis of investments in wind power electricity generation in Ontario," Energy Economics, Elsevier, vol. 103(C).
    5. Jiang, Zihao & Liu, Zhiying, 2022. "Policies and exploitative and exploratory innovations of the wind power industry in China: The role of technological path dependence," Technological Forecasting and Social Change, Elsevier, vol. 177(C).

  4. Frank Milne & David Longworth, 2020. "Preparing for Future Pandemics: Stress Tests and Wargames," Working Paper 1437, Economics Department, Queen's University.

    Cited by:

    1. Frank Milne & David Longworth, 2020. "Covid-19 and the Lack of Public Health and Government Preparation," Working Paper 1436, Economics Department, Queen's University.

  5. Charles Beach & Frank Milne, 2019. "Ontario Post-Secondary Education Funding Policies: Perverse Incentives and Unintended Consequences," Working Paper 1424, Economics Department, Queen's University.

    Cited by:

    1. Frank Milne & David Longworth, 2020. "Preparing for Future Pandemics: Stress Tests and Wargames," Working Paper 1437, Economics Department, Queen's University.

  6. Mei Li & Frank Milne & Junfeng Qiu, 2016. "The Signaling Effect and Optimal LOLR Policy," Working Papers 1601, University of Guelph, Department of Economics and Finance.

    Cited by:

    1. Wang, Zijian, 2020. "Liquidity and private information in asset markets: To signal or not to signal," Journal of Economic Theory, Elsevier, vol. 190(C).
    2. Zhang, Hanzhe & Hu, Yunzhi, 2020. "Overcoming Borrowing Stigma: The Design of Lending-of-Last-Resort Policies," Working Papers 2020-5, Michigan State University, Department of Economics.

  7. Mei Li & Frank Milne & Junfeng Qiu, 2013. "Uncertainty in an Interconnected Financial System, Contagion," Working Papers 1304, University of Guelph, Department of Economics and Finance.

    Cited by:

    1. Mei Li & Frank Milne & Junfeng Qiu, 2015. "Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy," Working Papers 1506, University of Guelph, Department of Economics and Finance.

  8. Mei Li & Frank Milne & Junfeng Qiu, 2013. "Uncertainty In An Interconnected Financial System, Contagion, And Market Freezes," Working Paper 1308, Economics Department, Queen's University.

    Cited by:

    1. Mei Li & Frank Milne & Junfeng Qiu, 2015. "Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy," Working Papers 1506, University of Guelph, Department of Economics and Finance.
    2. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    3. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    4. Mei Li & Frank Milne & Junfeng Qiu, 2020. "The LOLR Policy and its Signaling Effect in a Time of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(3), pages 231-252, June.
    5. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.
    6. Samitas, Aristeidis & Kampouris, Elias & Kenourgios, Dimitris, 2020. "Machine learning as an early warning system to predict financial crisis," International Review of Financial Analysis, Elsevier, vol. 71(C).

  9. Frank Milne, 2012. "Economic Crises: The Impact On Australia And Canada," Working Paper 1296, Economics Department, Queen's University.

    Cited by:

    1. Lou, Weifang & Yin, Xiangkang, 2014. "The impact of the global financial crisis on mortgage pricing and credit supply," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 336-363.

  10. Anita Anand & Frank Milne & Lynnette Purda, 2010. "Monitoring To Reduce Agency Costs: Examining The Behavior Of Independent And Non-independent Boards," Working Paper 1243, Economics Department, Queen's University.

    Cited by:

    1. Shivan Sarpal, 2018. "Does Endogeneity in Causal Relationships Matter: A Case of Board Independence and Firm’s Market Valuation," Emerging Economy Studies, International Management Institute, vol. 4(1), pages 19-39, May.

  11. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.

    Cited by:

    1. Bonfim, D. & Kim, M., 2012. "Liquidity Risk in Banking : Is there Herding?," Other publications TiSEM 6e6df5ea-401b-49a2-b1be-4, Tilburg University, School of Economics and Management.

  12. Anita Anand & Frank Milne & Lynnette Purda, 2006. "Voluntary Adoption Of Corporate Governance Mechanisms," Working Paper 1112, Economics Department, Queen's University.

    Cited by:

    1. Durnev, Art & Fauver, Larry, 2008. "Stealing from Thieves: Firm Governance and Performance when States are Predatory," CEI Working Paper Series 2008-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    2. Barbara, Petracci, 2011. "Trading when you cannot trade: Blackout periods in Italian firms," International Review of Law and Economics, Elsevier, vol. 31(3), pages 196-204, September.
    3. Jehad S. Aldehayyat & Sliman S. Alsoboa & Mohammad H. Al-Kilani, 2017. "Investigating How Corporate Governance Affects Performance of Firm in Small Emerging Markets: An Empirical Analysis for Jordanian Manufacturing Firms," International Business Research, Canadian Center of Science and Education, vol. 10(1), pages 77-95, January.
    4. Kent Baker & Shantanu Dutta & Samir Saadi, 2011. "Corporate Finance Practices in Canada: Where Do We Stand?," Multinational Finance Journal, Multinational Finance Journal, vol. 15(3-4), pages 157-192, September.
    5. Morgan, Angela & Wolf, Jack, 2007. "Approval of shareholder-sponsored proposals: Evidence from Canada," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 136-151.
    6. Varun Bhandari & Ashima Arora, 2016. "Influence of Shareholders’ Activism and Firm-level Variables on the Corporate Governance Quality in India," Indian Journal of Corporate Governance, , vol. 9(2), pages 122-147, December.
    7. Veerma Puri, 2023. "Corporate governance characteristics, financial characteristics and HR practices disclosures: an Indian scenario," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 20(3), pages 231-247, September.
    8. Moustafa Fadl, 2013. "Do IPO Firms Manage Earnings?," Accounting and Finance Research, Sciedu Press, vol. 2(4), pages 1-81, November.
    9. Anita I. Anand & Edward M. Iacobucci, 2011. "An Empirical Examination of the Governance Choices of Income Trusts," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 8(1), pages 147-176, March.

  13. David Kelsey & Frank Milne, 2006. "Imperfect Competition And Corporate Governance," Working Paper 1079, Economics Department, Queen's University.

    Cited by:

    1. Marco, Marini & Alberto, Zevi, 2010. "'Just one of us': Consumers playing oligopoly in mixed markets," MPRA Paper 31213, University Library of Munich, Germany, revised 30 May 2011.
    2. David Kelsey & Frank Milne, 2006. "Externalities, monopoly and the objective function of the firm," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(3), pages 565-589, November.
    3. Kopel, Michael & Lamantia, Fabio & Szidarovszky, Ferenc, 2014. "Evolutionary competition in a mixed market with socially concerned firms," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 394-409.
    4. David Kelsey & Frank Milne, 2010. "Takeovers and cooperatives: governance and stability in non-corporate firms," Journal of Economics, Springer, vol. 99(3), pages 193-209, April.
    5. Marco Marini & Paolo Polidori & Desiree Teobaldelli & Alberto Zevi, 2014. "Welfare enhancing coordination in consumer cooperatives under mixed oligopoly," DIAG Technical Reports 2014-10, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    6. Michael Kopel & Marco A. Marini, 2012. "Optimal Compensation Structure in Consumer Cooperatives under Mixed Oligopoly," DIS Technical Reports 2012-06, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
    7. Stefano Demichelis & Klaus Ritzberger, 2011. "A general equilibrium analysis of corporate control and the stock market," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(2), pages 221-254, February.
    8. Stefano Demichelis & Klaus Ritzberger, 2007. "Corporate Control and the Stock Market," Carlo Alberto Notebooks 60, Collegio Carlo Alberto.
    9. Michael Kopel & Marco Marini, 2013. "Strategic Delegation In Consumer Cooperatives Under Mixed Oligopoly," Working Papers 1306, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2013.
    10. Kopel, Michael & Brand, Björn, 2012. "Socially responsible firms and endogenous choice of strategic incentives," Economic Modelling, Elsevier, vol. 29(3), pages 982-989.

  14. David Kelsey & Frank Milne, 2006. "Takeovers And Cooperatives," Working Paper 1113, Economics Department, Queen's University.

    Cited by:

    1. Marco, Marini & Alberto, Zevi, 2010. "'Just one of us': Consumers playing oligopoly in mixed markets," MPRA Paper 31213, University Library of Munich, Germany, revised 30 May 2011.

  15. David Kelsey & Frank Milne, 2005. "Externalities, Monopoly And The Objective Function Of The Firm," Working Paper 1078, Economics Department, Queen's University.

    Cited by:

    1. David Kelsey & Frank Milne, 2006. "Imperfect Competition And Corporate Governance," Working Paper 1079, Economics Department, Queen's University.
    2. Camelia Bejan & Florin Bidian, 2012. "Ownership structure and efficiency in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(3), pages 571-602, August.
    3. Steven Baker & Burton Hollifield & Emilio Osambela, 2019. "Asset Prices and Portfolios with Externalities," 2019 Meeting Papers 1255, Society for Economic Dynamics.
    4. David Kelsey & Frank Milne, 2010. "Takeovers and cooperatives: governance and stability in non-corporate firms," Journal of Economics, Springer, vol. 99(3), pages 193-209, April.
    5. Tikoudis, Ioannis, 2023. "Revisiting the Pigouvian tax in urban roads: Housing supply restrictions, leaking profits and spatial inequality," Economics of Transportation, Elsevier, vol. 35(C).
    6. L. Marsiliani & X. Liu & Л. Марсилиани & К. Лю, 2017. "Структура Акционерного Капитала И Степень Эксплуатации Нефтяных Месторождений // Share-Ownership Distribution And Extraction Rate Of Petroleum In Oil Fields," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 42-53.
    7. David Kelsey & Frank Milne, 2006. "Takeovers And Cooperatives," Working Paper 1113, Economics Department, Queen's University.

  16. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.

    Cited by:

    1. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
    2. V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
    3. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    4. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
    5. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    6. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
    7. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
    8. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.

  17. Frank Milne & Xing Jin, 1996. "The Existence Of Equilibrium In A Financial Market With Transaction Costs," Working Paper 934, Economics Department, Queen's University.

    Cited by:

    1. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    2. V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
    3. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    4. Xiaotie Deng & Chunlei Xu & Shunming Zhang, 2000. "Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs," University of Western Ontario, Departmental Research Report Series 200013, University of Western Ontario, Department of Economics.
    5. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
    6. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.

  18. Frank Milne & David Kelsey, 1994. "Induced Preferences and Decision-Making Under Risk and Uncertainty," Working Paper 897, Economics Department, Queen's University.

    Cited by:

    1. Stephen Morris, 1997. "Risk, uncertainty and hidden information," Theory and Decision, Springer, vol. 42(3), pages 235-269, May.

  19. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper 1158, Economics Department, Queen's University.

    Cited by:

    1. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
    2. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
    3. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
    4. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
    5. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    6. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    7. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    8. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November.
    9. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
    10. René Lalonde, 1999. "The Information Content of Interest Rate Futures Options," Staff Working Papers 99-15, Bank of Canada.
    11. Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Post-Print halshs-03723832, HAL.
    12. Galati, Gabriele & Melick, William & Micu, Marian, 2005. "Foreign exchange market intervention and expectations: The yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 982-1011, October.
    13. Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
    14. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, vol. 7(1), pages 2-42.
    15. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
    16. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    17. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
    18. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    19. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.).
    20. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
    21. Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
    22. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
    23. Darolles, Serge & Laurent, Jean-Paul, 2000. "Approximating payoffs and pricing formulas," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1721-1746, October.
    24. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    25. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    26. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
    27. Bedoui, Rihab & Hamdi, Haykel, 2015. "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 142-152.
    28. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
    29. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
    30. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    31. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, vol. 7(1), pages 2-42.
    32. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
    33. Bliss, Robert R. & Panigirtzoglou, Nikolaos, 2002. "Testing the stability of implied probability density functions," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 381-422, March.
    34. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
    35. Roy Stein & Yoel Hecht, 2003. "Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE," Bank of Israel Working Papers 2003.05b, Bank of Israel.
    36. Lucio Fernandez-Arjona & Damir Filipovi'c, 2020. "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers 2004.14149, arXiv.org, revised May 2022.
    37. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.
    38. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
    39. Andrea Barletta & Paolo Santucci de Magistris, 2018. "Analyzing the Risks Embedded in Option Prices with rndfittool," Risks, MDPI, vol. 6(2), pages 1-15, March.
    40. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    41. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
    42. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    43. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
    44. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
    45. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
    46. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
    47. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    48. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(2), pages 258-290.
    49. Birke, Melanie & Pilz, Kay F., 2007. "Nonparametric option pricing with no-arbitrage constraints," Technical Reports 2007,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    50. Nessim Souissi, 2017. "The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index," Journal of Applied Mathematics, Hindawi, vol. 2017, pages 1-10, June.
    51. Lucio Fernandez‐Arjona & Damir Filipović, 2022. "A machine learning approach to portfolio pricing and risk management for high‐dimensional problems," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 982-1019, October.
    52. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
    53. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices: A comparison of estimation methods," Working Papers hal-04140913, HAL.
    54. Ryan Janicki & Tucker S. McElroy, 2016. "Hermite expansion and estimation of monotonic transformations of Gaussian data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 207-234, March.
    55. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
    56. Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research and International Relations Area.
    57. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
    58. Yoshino, Joe Akira, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6(2), pages 1-19, November.

  20. Frank Milne & Edwin H. Neave, 1993. "Dominance Relations Among Standardized Variable," Working Paper 877, Economics Department, Queen's University.

    Cited by:

    1. Li, Xiaoming, 2008. "Demand evolution in stochastic inventory systems: Riskiness increase," International Journal of Production Economics, Elsevier, vol. 116(2), pages 182-189, December.
    2. Chakravarty, Satya R. & Zoli, Claudio, 2012. "Stochastic dominance relations for integer variables," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1331-1341.
    3. Seifert, Ralf W. & Thonemann, Ulrich W. & Sieke, Marcel A., 2006. "Integrating direct and indirect sales channels under decentralized decision-making," International Journal of Production Economics, Elsevier, vol. 103(1), pages 209-229, September.
    4. Miller-Hooks, Elise & Mahmassani, Hani, 2003. "Path comparisons for a priori and time-adaptive decisions in stochastic, time-varying networks," European Journal of Operational Research, Elsevier, vol. 146(1), pages 67-82, April.
    5. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    6. Gökbayrak, Esra & Kayış, Enis, 2023. "Single item periodic review inventory control with sales dependent stochastic return flows," International Journal of Production Economics, Elsevier, vol. 255(C).
    7. Dong, Lingxiu & Kouvelis, Panos & Su, Ping, 2013. "Global facility network design in the presence of competition," European Journal of Operational Research, Elsevier, vol. 228(2), pages 437-446.
    8. Dong, Lingxiu & Kouvelis, Panos & Su, Ping, 2014. "Operational hedging strategies and competitive exposure to exchange rates," International Journal of Production Economics, Elsevier, vol. 153(C), pages 215-229.
    9. Martin A. Lariviere & Evan L. Porteus, 1999. "Stalking Information: Bayesian Inventory Management with Unobserved Lost Sales," Management Science, INFORMS, vol. 45(3), pages 346-363, March.

  21. Dilip B. Madan & Frank Milne, 1992. "Contingent Claims Valued and Hedged by Pricing and Investment in a Basis," Working Paper 868, Economics Department, Queen's University.

    Cited by:

    1. René Lalonde, 1999. "The Information Content of Interest Rate Futures Options," Staff Working Papers 99-15, Bank of Canada.
    2. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.).
    3. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
    4. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.
    5. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
    6. Robert R Bliss & Nikolaos Panigirtzoglou, 2000. "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England.
    7. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
    8. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.

  22. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.

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    1. Vladimir K. Kaishev & Dimitrina S. Dimitrova, 2009. "Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options," Management Science, INFORMS, vol. 55(3), pages 483-496, March.
    2. Olivier Le Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Post-Print hal-02312142, HAL.
    3. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    4. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
    5. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
    6. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
    7. Tomáš Tichý, 2010. "Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů [Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 504-521.
    8. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
    9. Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto.
    10. Roman V. Ivanov & Katsunori Ano, 2016. "On exact pricing of FX options in multivariate time-changed Lévy models," Review of Derivatives Research, Springer, vol. 19(3), pages 201-216, October.
    11. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    12. Akira Yamazaki, 2016. "Generalized Barndorff-Nielsen And Shephard Model And Discretely Monitored Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-34, June.
    13. Hatem Ben‐Ameur & Rim Chérif & Bruno Rémillard, 2020. "Dynamic programming for valuing American options under a variance‐gamma process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1548-1561, October.
    14. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    16. Mr. Noureddine Krichene, 2006. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 2006/299, International Monetary Fund.
    17. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
    18. Saurabha, Rritu & Tiwari, Manvendra, 2007. "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper 6329, University Library of Munich, Germany.
    19. Ming-Chieh Wang & Li-Jhang Huang, 2019. "Pricing cross-currency interest rate swaps under the Levy market model," Review of Derivatives Research, Springer, vol. 22(2), pages 329-355, July.
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    21. Laura Ballotta, 2009. "Pricing and capital requirements for with profit contracts: modelling considerations," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 803-817.
    22. Yacine Aït-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-1050, December.
    23. Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012. "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 115-129.
    24. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    25. Gian Luca Tassinari & Corrado Corradi, 2013. "Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1991-2010, December.
    26. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    27. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
    28. Salem, Marwa Belhaj & Fouladirad, Mitra & Deloux, Estelle, 2022. "Variance Gamma process as degradation model for prognosis and imperfect maintenance of centrifugal pumps," Reliability Engineering and System Safety, Elsevier, vol. 223(C).
    29. Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
    30. Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
    31. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
    32. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
    33. Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.
    34. Oscar Gutierrez, 2008. "Option valuation, time-changed processes and the fast Fourier transform," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 103-108.
    35. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
    36. Liming Feng & Vadim Linetsky, 2009. "Computing exponential moments of the discrete maximum of a Lévy process and lookback options," Finance and Stochastics, Springer, vol. 13(4), pages 501-529, September.
    37. Nicola Cantarutti & Jo~ao Guerra, 2016. "Multinomial method for option pricing under Variance Gamma," Papers 1701.00112, arXiv.org, revised Feb 2018.
    38. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
    39. Athanassios N. Avramidis & Pierre L'Ecuyer, 2006. "Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model," Management Science, INFORMS, vol. 52(12), pages 1930-1944, December.
    40. Yuanda Chen & Zailei Cheng & Haixu Wang, 2023. "Option Pricing for the Variance Gamma Model: A New Perspective," Papers 2306.10659, arXiv.org.
    41. Lingyan Cao & Zheng-Feng Guo, 2012. "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, vol. 4(1), pages 75-81.
    42. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques.
    43. Mr. Noureddine Krichene, 2005. "Subordinated Levy Processes and Applications to Crude Oil Options," IMF Working Papers 2005/174, International Monetary Fund.
    44. Dilip B. Madan & Sofie Reyners & Wim Schoutens, 2019. "Advanced model calibration on bitcoin options," Digital Finance, Springer, vol. 1(1), pages 117-137, November.
    45. Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
    46. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
    47. Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 333-352.
    48. Olivia Andreea Baciu, 2015. "Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(1), pages 007-018, June.
    49. Steven Heston, 2007. "A model of discontinuous interest rate behavior, yield curves, and volatility," Review of Derivatives Research, Springer, vol. 10(3), pages 205-225, December.
    50. Cadogan, Godfrey, 2010. "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper 23426, University Library of Munich, Germany.
    51. Chan, Tat Lung (Ron), 2020. "Hedging and pricing early-exercise options with complex fourier series expansion," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    52. Masahiko Egami & Kazutoshi Yamazaki, 2010. "Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions," Discussion papers e-10-011, Graduate School of Economics Project Center, Kyoto University.
    53. George Bouzianis & Lane P. Hughston, 2019. "Determination Of The Lévy Exponent In Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, February.
    54. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
    55. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
    56. Marco Bee & Maria Michela Dickson & Flavio Santi, 2017. "Likelihood-based Risk Estimation for Variance-Gamma Models," DEM Working Papers 2017/03, Department of Economics and Management.
    57. Colino, Jesús P., 2008. "New stochastic processes to model interest rates : LIBOR additive processes," DES - Working Papers. Statistics and Econometrics. WS ws085316, Universidad Carlos III de Madrid. Departamento de Estadística.
    58. Sun, Qi & Xu, Weidong, 2015. "Pricing foreign equity option with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 89-100.
    59. Pagnoncelli, Bernardo K. & Vanduffel, Steven, 2012. "A provisioning problem with stochastic payments," European Journal of Operational Research, Elsevier, vol. 221(2), pages 445-453.
    60. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
    61. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    62. Olivier Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(2), pages 87-109, June.
    63. Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.
    64. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
    65. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    66. Roman Ivanov, 2015. "The distribution of the maximum of a variance gamma process and path-dependent option pricing," Finance and Stochastics, Springer, vol. 19(4), pages 979-993, October.
    67. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    68. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, vol. 236(1), pages 200-208.
    69. Dilip Madan, 2006. "Equilibrium asset pricing: with non-Gaussian factors and exponential utilities," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 455-463.
    70. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
    71. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    72. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
    73. Evis Këllezi & Nick Webber, 2004. "Valuing Bermudan options when asset returns are Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 87-100.
    74. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
    75. Tat Lung & Chan, 2019. "An SFP--FCC Method for Pricing and Hedging Early-exercise Options under L\'evy Processes," Papers 1909.07319, arXiv.org.
    76. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    77. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.
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  23. Kelsey, D. & Milne, F., 1990. "The Arbitrage Pricing Theorem with non Expected Utility Preferences," Papers 217, Australian National University - Department of Economics.

    Cited by:

    1. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, University Library of Munich, Germany.
    2. Mukerji, S. & Tallon, J.-M., 1999. "Ambiguity Aversion and Incompleteness of Financial Markets," Papiers d'Economie Mathématique et Applications 1999-28, Université Panthéon-Sorbonne (Paris 1).
    3. Aldo Montesano, 2008. "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, vol. 65(2), pages 97-123, September.
    4. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    5. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
    6. Naqvi, Nadeem, 2012. "Why is the Workplace Racially Segregated by Occupation?," MPRA Paper 43352, University Library of Munich, Germany.
    7. Jürgen Eichberger & David Kelsey, 2007. "Ambiguity," Working Papers 0448, University of Heidelberg, Department of Economics, revised Jul 2007.
    8. Naqvi, Nadeem, 2012. "Impossibility of interpersonal social identity diversification under binary preferences," MPRA Paper 41365, University Library of Munich, Germany.

  24. Haller, J.E. & Milne, F., 1990. "Naive Bayesian Learning In 2 X 2 Matrix Games," Papers 9071, Tilburg - Center for Economic Research.

    Cited by:

    1. Dawid, Herbert, 1997. "Learning of equilibria by a population with minimal information," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 1-18, January.
    2. Berninghaus, Siegfried K. & Haller, Hans & Outkin, Alexander, 2005. "Neural Networks and Contagion," Sonderforschungsbereich 504 Publications 05-35, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    3. Berninghaus, Siegfried K. & Schwalbe, Ulrich, 1996. "Evolution, interaction, and Nash equilibria," Journal of Economic Behavior & Organization, Elsevier, vol. 29(1), pages 57-85, January.
    4. Iñarra García, María Elena & Laruelle, Annick & Zuazo Garín, Peio, 2012. "Games with perceptions," IKERLANAK 9099, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
    5. Gonzalo Olcina Vauteren & Amparo Urbano Salvador, 1993. "INTROSPECTION AND EQUILIBRIUM SELECTION IN 2x2 MATRIX GAMES," Working Papers. Serie AD 1993-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Eichberger, Jurgen & Kelsey, David, 2000. "Non-Additive Beliefs and Strategic Equilibria," Games and Economic Behavior, Elsevier, vol. 30(2), pages 183-215, February.

  25. Dilip B. Madan & Frank Milne & Hersh Shefrin, 1990. "The Multinomial Option Pricing Model And Its Brownian And Poisson Limits," Working Paper 1162, Economics Department, Queen's University.

    Cited by:

    1. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
    2. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
    3. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
    4. Vladislav Kargin, 2003. "Lattice Option Pricing By Multidimensional Interpolation," Finance 0309003, University Library of Munich, Germany, revised 29 Oct 2004.
    5. Zmeskal, Zdenek, 2010. "Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1096-1103, December.
    6. Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
    7. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
    8. Aleš Černý, 2007. "Optimal Continuous‐Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203, April.
    9. Hranaiova, Jana, 2000. "Delivery Options In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Conference, April 17-18 2000, Chicago, Illinois 18936, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    10. Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2021. "Global Index on Financial Losses due to Crime in the United States," Papers 2105.03514, arXiv.org.
    11. Luke Miller & Mark Bertus, 2013. "An Exposition On The Mathematics And Economics Of Option Pricing," Business Education and Accreditation, The Institute for Business and Finance Research, vol. 5(1), pages 1-16.
    12. Hranaiova, Jana & Tomek, William G., 2000. "Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Annual meeting, July 30-August 2, Tampa, FL 21732, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2022. "A Natural Disasters Index," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(2), pages 263-284, April.
    14. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    15. Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
    16. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
    17. Thilini Mahanama & Abootaleb Shirvani & Svetlozar T. Rachev, 2021. "Global Index on Financial Losses Due to Crime in the United States," JRFM, MDPI, vol. 14(7), pages 1-16, July.
    18. Cho, Junhyun & Kim, Yejin & Lee, Sungchul, 2022. "An accurate and stable numerical method for option hedge parameters," Applied Mathematics and Computation, Elsevier, vol. 430(C).
    19. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
    20. Luenberger, David G., 1998. "Products of trees for investment analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1403-1417, August.
    21. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2023. "The Financial Market of Indices of Socioeconomic Wellbeing," Papers 2303.05654, arXiv.org.
    22. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.

Articles

  1. Bahramian, Pejman & Jenkins, Glenn P. & Milne, Frank, 2021. "The displacement impacts of wind power electricity generation: Costly lessons from Ontario," Energy Policy, Elsevier, vol. 152(C).
    See citations under working paper version above.
  2. Bahramian, Pejman & Jenkins, Glenn P. & Milne, Frank, 2021. "A stakeholder analysis of investments in wind power electricity generation in Ontario," Energy Economics, Elsevier, vol. 103(C).
    See citations under working paper version above.
  3. Mei Li & Frank Milne & Junfeng Qiu, 2020. "The LOLR Policy and its Signaling Effect in a Time of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(3), pages 231-252, June.

    Cited by:

    1. Mei Li & Frank Milne & Junfeng Qiu, 2015. "Central Bank Screening, Moral Hazard, and the Lender of Last Resort Policy," Working Papers 1506, University of Guelph, Department of Economics and Finance.
    2. Huberto M. Ennis & Elizabeth C. Klee, 2021. "The Fed's Discount Window in "Normal" Times," Working Paper 21-01, Federal Reserve Bank of Richmond.

  4. Mei Li & Frank Milne & Junfeng Qiu, 2016. "Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1135-1168, September.
    See citations under working paper version above.
  5. David Kelsey & Frank Milne, 2010. "Takeovers and cooperatives: governance and stability in non-corporate firms," Journal of Economics, Springer, vol. 99(3), pages 193-209, April.

    Cited by:

    1. Marco, Marini & Alberto, Zevi, 2010. "'Just one of us': Consumers playing oligopoly in mixed markets," MPRA Paper 31213, University Library of Munich, Germany, revised 30 May 2011.
    2. Marco Marini & Paolo Polidori & Desiree Teobaldelli & Alberto Zevi, 2014. "Welfare enhancing coordination in consumer cooperatives under mixed oligopoly," DIAG Technical Reports 2014-10, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".

  6. Frank Milne, 2009. "The Complexities of Financial Risk Management and Systemic Risks," Bank of Canada Review, Bank of Canada, vol. 2009(Summer), pages 15-30.

    Cited by:

    1. Frank Milne, 2012. "Economic Crises: The Impact On Australia And Canada," Working Paper 1296, Economics Department, Queen's University.

  7. David Kelsey & Frank Milne, 2008. "Imperfect Competition and Corporate Governance," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 10(6), pages 1115-1141, December.
    See citations under working paper version above.
  8. Frank Milne, 2008. "Anatomy of the Credit Crisis: The role of Faulty Risk Management Systems," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 269, July.

    Cited by:

    1. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
    2. Costa Cabral, Nazare, 2010. "Breve guia temático e bibliográfico sobre o estudo da actual crise financeira e económica [Short thematic guide to the study of current financial and economic crisis]," MPRA Paper 20743, University Library of Munich, Germany.
    3. Frank Milne & David Longworth, 2020. "Preparing for Future Pandemics: Stress Tests and Wargames," Working Paper 1437, Economics Department, Queen's University.
    4. Peter W. Hogg, 2008. "A Question of Parliamentary power: Criminal Law and the Control of Greenhouse Gas Emissions," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 114, August.
    5. Peter Sinclair & Guy Spier & Tom Skinner, 2008. "Bonuses, Credit Rating Agencies and the Credit Crunch," CDMA Conference Paper Series 0805, Centre for Dynamic Macroeconomic Analysis.
    6. Peter Dungan & Jack Mintz & Finn Poschmann & Thomas Wilson, 2008. "Growth Oriented Sales Tax Reform for Ontario: Replacing the Retail Sales Tax with a 7.5 Percent Value-Added Tax," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 273, September.
    7. John Richards, 2008. "Closing the Aboriginal/non-Aboriginal Education Gaps," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 116, October.
    8. Arthur J. Cockfield, 2008. "Finding Silver Linings in the Storm: An Evaluation of Recent Canada-US Crossborder Developments," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 272, September.
    9. Frank Milne, 2012. "Economic Crises: The Impact On Australia And Canada," Working Paper 1296, Economics Department, Queen's University.
    10. David Card & Martin Dooley & A. Abigail Payne, 2008. "School Choice and the Benefits of Competition: Evidence from Ontario," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 115, October.

  9. David Kelsey & Frank Milne, 2006. "Externalities, monopoly and the objective function of the firm," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(3), pages 565-589, November.
    See citations under working paper version above.
  10. Klaus Ritzberger & Frank Milne, 2002. "Strategic pricing of equity issues," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(2), pages 271-294.

    Cited by:

    1. Silvia Rossetto, 2008. "The price of rapid exit in venture capital-backed IPOs," Annals of Finance, Springer, vol. 4(1), pages 29-53, January.
    2. Silvia Rossetto, 2013. "IPO activity and information in secondary market prices," Annals of Finance, Springer, vol. 9(4), pages 667-687, November.
    3. Michael Zierhut, 2021. "Indeterminacy of Cournot–Walras equilibrium with incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(1), pages 81-114, February.

  11. Kelsey, David & Milne, Frank, 1999. "Induced Preferences, Nonadditive Beliefs, and Multiple Priors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 455-477, May.

    Cited by:

    1. Bailey, Ralph W. & Eichberger, Jürgen & Kelsey, David, 2004. "Ambiguity and Public Good Provision in Large Societies," Sonderforschungsbereich 504 Publications 04-54, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    2. Spanjers, Willy, 2008. "Central banks and ambiguity," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 85-102.
    3. Machina, Mark J, 2001. "Payoff Kinks in Preferences over Lotteries," Journal of Risk and Uncertainty, Springer, vol. 23(3), pages 207-260, November.
    4. Chen, Zengjing & Epstein, Larry G. & Zhang, Guodong, 2023. "A central limit theorem, loss aversion and multi-armed bandits," Journal of Economic Theory, Elsevier, vol. 209(C).
    5. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    6. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005. "CEU preferences and dynamic consistency," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 143-151, March.

  12. Kelsey, David & Milne, Frank, 1996. "The existence of equilibrium in incomplete markets and the objective function of the firm," Journal of Mathematical Economics, Elsevier, vol. 25(2), pages 229-245.

    Cited by:

    1. David Kelsey & Frank Milne, 2006. "Imperfect Competition And Corporate Governance," Working Paper 1079, Economics Department, Queen's University.
    2. Bejan, Camelia, 2008. "Production and financial decisions under uncertainty," MPRA Paper 11033, University Library of Munich, Germany.
    3. Hervé Crès & Mich Tvede, 2011. "Production externalities: internalization by voting," SciencePo Working papers Main hal-00972983, HAL.
    4. Tarun Sabarwal, 2004. "Value Maximization As An Ex Post Consistent Firm Objective When Markets are Incomplete," GE, Growth, Math methods 0406002, University Library of Munich, Germany, revised 13 May 2005.
    5. David Kelsey & Frank Milne, 2006. "Externalities, monopoly and the objective function of the firm," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(3), pages 565-589, November.
    6. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    7. Thomas Renstrom & Erkan Yalcin, 2002. "Endogenous Firm Objectives," Industrial Organization 0204001, University Library of Munich, Germany.
    8. Alberto Bisin & Piero Gottardi & Guido Ruta, 2010. "Equilibrium Corporate Finance," Economics Working Papers ECO2010/01, European University Institute.
    9. Bisin, Alberto; & Gottardi, Piero; & Ruta, Guido, 2014. "Equilibrium corporate finance and intermediation," Economics Working Papers ECO2014/09, European University Institute.
    10. CRES, Herve & TVEDE, Mich, 2001. "Proxy fights in incomplete markets: when majority voting and sidepayments are equivalent," HEC Research Papers Series 726, HEC Paris.
    11. Erkan Yalçin & Thomas I. Renström, 2003. "Endogenous Firm Objectives," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 5(1), pages 67-94, January.
    12. Hervé Crès & Mich Tvede, 2005. "Portfolio Diversification and Internalization of Production Externalities through Majority Voting," SciencePo Working papers Main hal-01065579, HAL.
    13. Hervé Crès, 2006. "A geometric study of shareholders' voting in incomplete markets: multivariate median and mean shareholder theorems," Post-Print halshs-00119536, HAL.
    14. CRES, Hervé & TVEDE, Mich, 2004. "The Dreze and Grossman-Hart criteria for production in incomplete markets: Voting foundations and compared political stability," HEC Research Papers Series 794, HEC Paris.
    15. Hervé Crès & Mich Tvede, 2009. "Production in incomplete markets: Expectations matter for political stability," SciencePo Working papers Main hal-01022731, HAL.
    16. Hervé Crès & Mich Tvede, 2011. "Production externalities: internalization by voting," Working Papers hal-00972983, HAL.
    17. Malenko, Nadya & Levit, Doron & Maug, Ernst, 2022. "Trading and shareholder democracy," CEPR Discussion Papers 14039, C.E.P.R. Discussion Papers.
    18. Hervé Crès & Mich Tvede, 2009. "Production in Incomplete Markets: Expectations Matter for Political Stability," Discussion Papers 09-01, University of Copenhagen. Department of Economics.
    19. Petra Geraats & Hans Haller, 1998. "Shareholders' choice," Journal of Economics, Springer, vol. 68(2), pages 111-135, June.
    20. Doron Y. Levit & Nadya Malenko & Ernst G. Maug, 2023. "The Voting Premium," NBER Working Papers 31892, National Bureau of Economic Research, Inc.
    21. Crès, Hervé & Tvede, Mich, 2006. "Portfolio diversification and internalization of production externalities through majority voting," HEC Research Papers Series 816, HEC Paris.
    22. Alberto Bisin & Gian Luca Clementi & Piero Gottardi, 2014. "Capital Structure and Hedging Demand with Incomplete Markets," NBER Working Papers 20345, National Bureau of Economic Research, Inc.
    23. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    24. Volker Britz & P. Herings & Arkadi Predtetchinski, 2013. "A bargaining theory of the firm," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 45-75, September.
    25. L. Marsiliani & X. Liu & Л. Марсилиани & К. Лю, 2017. "Структура Акционерного Капитала И Степень Эксплуатации Нефтяных Месторождений // Share-Ownership Distribution And Extraction Rate Of Petroleum In Oil Fields," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 42-53.
    26. Renström, Thomas I & Yalcin, Erdal, 2002. "Endogenous Firm Objectives," CEPR Discussion Papers 3361, C.E.P.R. Discussion Papers.
    27. Eva Carceles-Poveda, 2009. "Asset Prices and Business Cycles under Market Incompleteness," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(3), pages 405-422, July.
    28. Camelia Bejan, 2020. "Investment and financing in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 69(1), pages 149-182, February.
    29. Hervé Crès & Mich Tvede, 2023. "Corporate self-regulation of imperfect competition," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 1181-1205, May.
    30. Britz, V. & Herings, P.J.J. & Predtetchinski, A., 2010. "Theory of the firm: bargaining and competitive equilibrium," Research Memorandum 057, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    31. Thomas Renstrom & Erkan Yalcin, "undated". "Endogeneous Firm Objectives," Wallis Working Papers WP27, University of Rochester - Wallis Institute of Political Economy.
    32. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
    33. Hervé Crès & Mich Tvede, 2001. "Proxy fights in incomplete markets: when majority voting and sidepayments are equivalent," SciencePo Working papers Main hal-01065004, HAL.
    34. Wright, Mark L.J., 2005. "On the gains from international financial integration," Economics Letters, Elsevier, vol. 87(3), pages 379-386, June.

  13. Kelsey David & Milne Frank, 1995. "The Arbitrage Pricing Theorem with Non-expected Utility Preferences," Journal of Economic Theory, Elsevier, vol. 65(2), pages 557-574, April.
    See citations under working paper version above.
  14. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    See citations under working paper version above.
  15. Frank Milne & Edwin H. Neave, 1994. "Dominance Relations Among Standardized Variables," Management Science, INFORMS, vol. 40(10), pages 1343-1352, October.
    See citations under working paper version above.
  16. Eichberger, J. & Haller, H. & Milne, F., 1993. "Naive Bayesian learning in 2 x 2 matrix games," Journal of Economic Behavior & Organization, Elsevier, vol. 22(1), pages 69-90, September.
    See citations under working paper version above.
  17. Chris Jones & Frank Milne, 1992. "Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates1," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 189-196, July.

    Cited by:

    1. Frank Strobel, 2005. "International tax arbitrage, financial parity conditions and preferential capital gains taxation," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 219-226.
    2. Suleyman Basak & Benjamin Croitoru, "undated". "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Rodney L. White Center for Financial Research Working Papers 7-99, Wharton School Rodney L. White Center for Financial Research.
    3. Strobel, Frank, 2012. "International tax arbitrage and residence vs. source-based capital income taxation," Research in Economics, Elsevier, vol. 66(4), pages 391-397.
    4. Jones, C., 1999. "Miller's Equilibrium and Uncertainty," ANU Working Papers in Economics and Econometrics 1999-373, Australian National University, College of Business and Economics, School of Economics.
    5. Strobel, Frank, 2001. "International tax arbitrage, tax evasion and interest parity conditions," Research in Economics, Elsevier, vol. 55(4), pages 413-427, December.

  18. Turnbull, Stuart M & Milne, Frank, 1991. "A Simple Approach to Interest-Rate Option Pricing," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 87-120.

    Cited by:

    1. Jiang, G.J. & van der Sluis, P.J., 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
    2. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
    3. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    4. K. Nawalkha, Sanjay, 1995. "Face value convergence for stochastic bond price processes: a note on Merton's partial equilibrium option pricing model," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 153-164, April.
    5. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
    6. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
    7. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    8. Ho, T. S. & Stapleton, Richard C. & Subrahmanyam, Marti G., 1997. "The valuation of American options on bonds1," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1487-1513, December.
    9. David C. Ling, 1993. "Mortgage‐Backed Futures and Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 47-67, March.
    10. David Backus & Silverio Foresi & Chris I. Telmer, 1998. "Discrete-Time Models of Bond Pricing," NBER Working Papers 6736, National Bureau of Economic Research, Inc.
    11. Yong-Jin Kim & Naoto Kunitomo, 1999. "Pricing Options under Stochastic Interest Rates: A New Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 49-70, January.
    12. Naoto Kunitomo & Yong-Jin Kim, 2000. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims," CIRJE F-Series CIRJE-F-67, CIRJE, Faculty of Economics, University of Tokyo.
    13. Peter H. Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Papers (Old Series) 9214, Federal Reserve Bank of Cleveland.
    14. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.
    15. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    16. Bacinello, Anna Rita & Ortu, Fulvio, 1996. "Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results," European Journal of Operational Research, Elsevier, vol. 91(2), pages 235-249, June.
    17. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
    18. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017.
    19. Gilkeson, James H. & Porter, Gary E. & Smith, Stanley D., 2000. "The impact of the early withdrawal option on time deposit pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 107-120.
    20. Gurdip S. Bakshi & Zhiwu Chen, "undated". "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
    21. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    22. Chenghu Ma, 2003. "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 401-426, November.
    23. Jr-Wei Huang & Sharon S. Yang & Chuang-Chang Chang, 2021. "Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 249-279, August.
    24. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
    25. Jean-Paul Décamps, 1993. "Valorisation de produits obligataires dans un modéle d'équilibre général en temps discret," Annals of Economics and Statistics, GENES, issue 31, pages 73-100.
    26. Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
    27. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    28. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
    29. Naoto Kunitomo & Yong‐Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106, March.
    30. Ren-Raw Chen & Shih-Kuo Yeh, 2012. "Analytical bounds for Treasury bond futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 209-239, August.
    31. Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
    32. Yong-Jin Kim, 2004. "Good-Deal Option Price Bounds for a Non-Traded Event with Stochastic Return: A Note," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 135-141, June.
    33. GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.
    34. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
    35. Anna Pajor, 2008. "Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 147-154.

  19. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components1," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55, October.

    Cited by:

    1. Vladimir K. Kaishev & Dimitrina S. Dimitrova, 2009. "Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options," Management Science, INFORMS, vol. 55(3), pages 483-496, March.
    2. Olivier Le Courtois, 2018. "Some Further Results on the Tempered Multistable Approach," Post-Print hal-02312142, HAL.
    3. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    4. Tat Lung Chan, 2017. "Singular Fourier-Pad\'e Series Expansion of European Option Prices," Papers 1706.06709, arXiv.org, revised Nov 2017.
    5. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
    6. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
    7. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
    8. Tomáš Tichý, 2010. "Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů [Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 504-521.
    9. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
    10. Roman V. Ivanov & Katsunori Ano, 2016. "On exact pricing of FX options in multivariate time-changed Lévy models," Review of Derivatives Research, Springer, vol. 19(3), pages 201-216, October.
    11. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    12. Akira Yamazaki, 2016. "Generalized Barndorff-Nielsen And Shephard Model And Discretely Monitored Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-34, June.
    13. Hatem Ben‐Ameur & Rim Chérif & Bruno Rémillard, 2020. "Dynamic programming for valuing American options under a variance‐gamma process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1548-1561, October.
    14. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    15. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    16. Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
    17. Ming-Chieh Wang & Li-Jhang Huang, 2019. "Pricing cross-currency interest rate swaps under the Levy market model," Review of Derivatives Research, Springer, vol. 22(2), pages 329-355, July.
    18. Lam, K. & Chang, E. & Lee, M. C., 2002. "An empirical test of the variance gamma option pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 267-285, June.
    19. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
    20. Laura Ballotta, 2009. "Pricing and capital requirements for with profit contracts: modelling considerations," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 803-817.
    21. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
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    Cited by:

    1. Piero Gottardi & Rohit Rahi, 2010. "Value of Information in Competitive Economies with Incomplete Markets," FMG Discussion Papers dp658, Financial Markets Group.
    2. David Kelsey & Frank Milne, 2006. "Externalities, monopoly and the objective function of the firm," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(3), pages 565-589, November.
    3. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    4. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    5. Marie-Louise Viero, 2006. "Contracting In Vague Environments," Working Paper 1106, Economics Department, Queen's University.
    6. Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
    7. Willems, Bert & Morbee, Joris, 2010. "Market completeness: How options affect hedging and investments in the electricity sector," Energy Economics, Elsevier, vol. 32(4), pages 786-795, July.
    8. Jean‐Jacques Laffont, 1989. "A Brief Overview of the Economics of Incomplete Markets," The Economic Record, The Economic Society of Australia, vol. 65(1), pages 54-65, March.
    9. Liu, Zhiyuan & Wang, Zewen & Cheng, Qixiu & Yin, Ruyang & Wang, Meng, 2021. "Estimation of urban network capacity with second-best constraints for multimodal transport systems," Transportation Research Part B: Methodological, Elsevier, vol. 152(C), pages 276-294.

  24. Milne, Frank, 1987. "The induced preference approach to arbitrage and diversification arguments in finance," European Economic Review, Elsevier, vol. 31(1-2), pages 235-245.

    Cited by:

    1. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.

  25. Frank Milne, 1981. "The firm's objective function as a collective choice problem," Public Choice, Springer, vol. 37(3), pages 473-486, January.

    Cited by:

    1. David Kelsey & Frank Milne, 2006. "Imperfect Competition And Corporate Governance," Working Paper 1079, Economics Department, Queen's University.
    2. Miguel Anton & Florian Ederer & Mireia Gine & Martin Schmalz, 2016. "Common Ownership, Competition, and Top Management Incentives," Cowles Foundation Discussion Papers 2046, Cowles Foundation for Research in Economics, Yale University.
    3. Stefano Demichelis & Klaus Ritzberger, 2007. "Corporate Control and the Stock Market," Carlo Alberto Notebooks 60, Collegio Carlo Alberto.
    4. L. Marsiliani & X. Liu & Л. Марсилиани & К. Лю, 2017. "Структура Акционерного Капитала И Степень Эксплуатации Нефтяных Месторождений // Share-Ownership Distribution And Extraction Rate Of Petroleum In Oil Fields," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 42-53.

  26. Milne, Frank, 1981. "Induced preferences and the theory of the consumer," Journal of Economic Theory, Elsevier, vol. 24(2), pages 205-217, April.

    Cited by:

    1. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. Klaus Ritzberger & Frank Milne, 2002. "Strategic pricing of equity issues," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(2), pages 271-294.

  27. Milne, Frank, 1980. "Short-Selling, Default Risk and the Existence of Equilibrium in a Securities Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 255-267, June.

    Cited by:

    1. Sjur Didrik Flåm, 2002. "Pooling, Pricing and Trading of Risks," CESifo Working Paper Series 672, CESifo.
    2. Le Van, Cuong & Truong Xuan, Duc Ha, 2001. "Asset market equilibrium in Lp spaces with separable utilities," Journal of Mathematical Economics, Elsevier, vol. 36(3), pages 241-254, December.
    3. Dana, R.-A. & Le Van, C. & Magnien, F., 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Papiers d'Economie Mathématique et Applications 1999.34, Université Panthéon-Sorbonne (Paris 1).
    4. Nizar Allouch & Cuong Le Van & Frank H. Page, 2006. "Arbitrage and equilibrium in unbounded exchange economies with satiation," Post-Print halshs-00096040, HAL.
    5. Allouch, Nizar & Le Van, Cuong & Page, Frank H., Jr., 2002. "Arbitrage, Equilibrium, and Nonsatiation," Economic Research Papers 269411, University of Warwick - Department of Economics.
    6. Allouch, Nizar, 2001. "A note on two notions of arbitrage," Economic Research Papers 269397, University of Warwick - Department of Economics.
    7. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
    8. Danilov, Vladimir & Koshovoy, Gleb & Page, Frank & Wooders, Myrna, 2011. "Existence of equilibrium with unbounded short sales: A new approach," MPRA Paper 37778, University Library of Munich, Germany, revised Mar 2012.
    9. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June.
    10. Sjur Flåm, 2009. "Pooling, pricing and trading of risks," Annals of Operations Research, Springer, vol. 165(1), pages 145-160, January.
    11. Fratini, Saverio M. & Levrero, Enrico Sergio & Ravagnani, Fabio, 2016. "Price expectations in neo-Walrasian equilibrium models: an overview," MPRA Paper 69515, University Library of Munich, Germany.
    12. Le Van, Cuong & Navrouzoglou, Paulina & Vailakis, Yiannis, 2019. "On endogenous formation of price expectations," Games and Economic Behavior, Elsevier, vol. 115(C), pages 436-458.
    13. Roger J. Bowden, 1990. "Predictive Disequilibria and the Short Run Dynamics of Asset Prices," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 65-87, June.
    14. Allouch, Nizar, 2001. "A note on two notions of arbitrage," The Warwick Economics Research Paper Series (TWERPS) 623, University of Warwick, Department of Economics.
    15. Monteiro, Paulo K. & Page, Frank Jr. & Wooders, Myrna Holtz, 1997. "Arbitrage, equilibrium, and gains from trade: A counterexample," Journal of Mathematical Economics, Elsevier, vol. 28(4), pages 481-501, November.

  28. Milne, Frank & Smith, Clifford W., 1980. "Capital Asset Pricing with Proportional Transaction Costs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 253-266, June.

    Cited by:

    1. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
    2. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    3. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.
    4. Peter Hartley, 1986. "Portfolio Theory and Foreign Investment ? The Role of Non‐Marketed Assets," The Economic Record, The Economic Society of Australia, vol. 62(3), pages 286-295, September.
    5. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.

  29. Frank Milne, 1979. "Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets," Review of Economic Studies, Oxford University Press, vol. 46(3), pages 407-417.

    Cited by:

    1. Chambers, Robert G. & Quiggin, John, 2001. "Primal and Dual Approaches to the Analysis of Risk Aversion," Working Papers 197602, University of Maryland, Department of Agricultural and Resource Economics.
    2. JÊrÆme B. Detemple & Piero Gottardi, 1998. "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(2), pages 443-455.
    3. Chambers, Robert G. & Quiggin, John C., 2002. "Dual Approaches To The Analysis Of Risk Aversion," Working Papers 28606, University of Maryland, Department of Agricultural and Resource Economics.
    4. DeMarzo, Peter & Skiadas, Costis, 1998. "Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information," Journal of Economic Theory, Elsevier, vol. 80(1), pages 123-152, May.
    5. Frank Milne, 1981. "The firm's objective function as a collective choice problem," Public Choice, Springer, vol. 37(3), pages 473-486, January.
    6. Chenghu Ma & Jiankang Zhang, 2013. "Aggregation in Incomplete Market with General Utility Functions," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    7. Stockman, Alan C. & Dellas, Harris, 1986. "Asset markets, tariffs, and political risk," Journal of International Economics, Elsevier, vol. 21(3-4), pages 199-213, November.
    8. Chenghu Ma & Jiankang Zhang, 2013. "p-Weakly constrained Pareto efficiency and aggregation in incomplete markets," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 41(3), pages 605-623, September.

  30. Milne, Frank, 1976. "Default Risk in a General Equilibrium Asset Economy with Incomplete Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(3), pages 613-625, October.

    Cited by:

    1. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, University Library of Munich, Germany.
    2. Allouch, Nizar & Le Van, Cuong & Page, Frank H., Jr., 2002. "Arbitrage, Equilibrium, and Nonsatiation," Economic Research Papers 269411, University of Warwick - Department of Economics.
    3. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001. "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS) 598, University of Warwick, Department of Economics.
    4. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    5. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.

  31. Milne, Frank, 1975. "Choice over asset economies: Default risk and corporate leverage," Journal of Financial Economics, Elsevier, vol. 2(2), pages 165-185, June.

    Cited by:

    1. David P. Baron, 1977. "On the Relationship Between Complete and Incomplete Financial Markets Models," Discussion Papers 241, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Frank Milne, 1981. "The firm's objective function as a collective choice problem," Public Choice, Springer, vol. 37(3), pages 473-486, January.
    3. Zihui Xu & Zifan Chen & Lixing Deng & Yan Yu, 2022. "The Impact of Mandatory Deleveraging on Corporate Tax Avoidance: Evidence from a Quasi‐experiment in China," Australian Accounting Review, CPA Australia, vol. 32(3), pages 352-366, September.

  32. F. Milne, 1974. "Corporate Investment and Finance Theory in Competitive Equilibrium," The Economic Record, The Economic Society of Australia, vol. 50(4), pages 511-533, December.

    Cited by:

    1. Paul Seabright, 1993. "Managing Local Commons: Theoretical Issues in Incentive Design," Journal of Economic Perspectives, American Economic Association, vol. 7(4), pages 113-134, Fall.
    2. Lemma W. Senbet & Robert A. Taggart, Jr., 1981. "Capital Structure Equilibrium under Incomplete Market Conditions," NBER Working Papers 0747, National Bureau of Economic Research, Inc.
    3. Paul Van Moeseke, 1979. "Value Cores for Finite Agents," The Economic Record, The Economic Society of Australia, vol. 55(1), pages 76-81, March.

Chapters

  1. Xing Jin & Frank Milne, 1999. "The Existence Of Equilibrium In A Financial Market With Transaction Costs," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 14, pages 323-343, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Milne, Frank, 2003. "Finance Theory and Asset Pricing: Second Edition," OUP Catalogue, Oxford University Press, edition 2, number 9780199261079, Decembrie.

    Cited by:

    1. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    2. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    3. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.

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