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Prices in Financial Markets

Citations

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Cited by:

  1. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June.
  2. Michael J. Stutzer, 1989. "Duality and arbitrage with transactions costs: theory and applications," Staff Report 128, Federal Reserve Bank of Minneapolis.
  3. Hans Gerber & Gérard Pafumi, 1998. "Pricing dynamic solvency insurance and investment fund protection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 125-146, June.
  4. Bottazzi, Jean-Marc & Hens, Thorsten & Loffler, Andreas, 1998. "Market Demand Functions in the Capital Asset Pricing Model," Journal of Economic Theory, Elsevier, vol. 79(2), pages 192-206, April.
  5. repec:dau:papers:123456789/5374 is not listed on IDEAS
  6. Girotto, Bruno & Ortu, Fulvio, 1997. "Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets," Journal of Mathematical Economics, Elsevier, vol. 27(3), pages 283-294, April.
  7. Victor Goodman & Kyounghee Kim, 2006. "One-Factor Term Structure without Forward Rates," Papers math/0612035, arXiv.org, revised Dec 2006.
  8. Kleinow, Torsten & Willder, Mark, 2007. "The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 445-458, May.
  9. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.
  10. Viera Neto, C.A. & Pedro L. Valls Pereira, 2000. "Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price," Finance Lab Working Papers flwp_22, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  11. Bladt, Mogens & Rydberg, Tina Hviid, 1998. "An actuarial approach to option pricing under the physical measure and without market assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 65-73, May.
  12. Auler, Flávio & Werlang, Sérgio Ribeiro da Costa, 1993. "Determinação de preços de ativos, arbitragem, mercado a termo e mercado futuro," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 215, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  13. Boyle, Phelim P. & Yang, Hailiang, 1997. "Asset allocation with time variation in expected returns," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 201-218, December.
  14. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics.
  15. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath & Hyejin Ku, 2007. "Coherent multiperiod risk adjusted values and Bellman’s principle," Annals of Operations Research, Springer, vol. 152(1), pages 5-22, July.
  16. Panos Kouvelis & Rong Li & Qing Ding, 2013. "Managing Storable Commodity Risks: The Role of Inventory and Financial Hedge," Manufacturing & Service Operations Management, INFORMS, vol. 15(3), pages 507-521, July.
  17. Lane P. Hughston & Leandro S'anchez-Betancourt, 2023. "Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement," Papers 2305.10239, arXiv.org, revised Oct 2023.
  18. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany.
  19. Timo Altmann & Thorsten Schmidt & Winfried Stute, 2008. "A Shot Noise Model For Financial Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 87-106.
  20. Fegatelli, Paolo, 2010. "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," Journal of Financial Stability, Elsevier, vol. 6(2), pages 79-84, June.
  21. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare [The Essentials of the Analysis of Financial Time Series]," MPRA Paper 67175, University Library of Munich, Germany.
  22. Neil Shephard & Tina Hviid Rydberg, 1999. "A modelling framework for the prices and times of trades made on the New York stock exchange," Economics Series Working Papers 1999-W14, University of Oxford, Department of Economics.
  23. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
  24. George Bouzianis & Lane P. Hughston & Leandro S'anchez-Betancourt, 2022. "Information-Based Trading," Papers 2201.08875, arXiv.org, revised Jan 2024.
  25. Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger, 2007. "Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 157-178, September.
  26. Horvath, Philip A., 1995. "Compounding/discounting in continuous time," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(3), pages 315-325.
  27. Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
  28. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  29. Kavous Ardalan & Kevin Hebner, 1998. "The no-arbitrage condition and financial markets with heterogeneous information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 87-99, March.
  30. Bryan Ellickson & José Penalva-Zuasti, 1996. "Intertemporal Insurance," Center for Financial Institutions Working Papers 96-19, Wharton School Center for Financial Institutions, University of Pennsylvania.
  31. Paolo Fegatelli, 2010. "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," BCL working papers 46, Central Bank of Luxembourg.
  32. Michael Dothan & Fred Thompson, 2009. "A better budget rule," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 28(3), pages 463-478.
  33. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
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