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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. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    3. 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.
    4. 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.
    5. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    6. Platen, Eckhard, 2000. "Risk premia and financial modelling without measure transformation," SFB 373 Discussion Papers 2000,92, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    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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