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From structural assumptions to a link between assets and interest rates

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  • Rei[ss], Oliver
  • Schoenmakers, John
  • Schweizer, Martin

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  • Rei[ss], Oliver & Schoenmakers, John & Schweizer, Martin, 2007. "From structural assumptions to a link between assets and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 593-612, February.
    • Handle: RePEc:eee:dyncon:v:31:y:2007:i:2:p:593-612
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    References listed on IDEAS

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    1. Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
    2. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    4. J. K. Hoogland & C. D. D. Neumann, 2001. "Local Scale Invariance And Contingent Claim Pricing Ii: Path-Dependent Contingent Claims," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 23-43.
    5. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    6. Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 365-388, December.
    7. J. K. Hoogland & C. D. D. Neumann, 2001. "Local Scale Invariance And Contingent Claim Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-21.
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