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Consistency among trading desks

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  • David Heath
  • Hyejin Ku

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Suggested Citation

  • David Heath & Hyejin Ku, 2006. "Consistency among trading desks," Finance and Stochastics, Springer, vol. 10(3), pages 331-340, September.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:331-340
    DOI: 10.1007/s00780-006-0014-4
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    References listed on IDEAS

    as
    1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    2. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
    3. Alan Brace & Dariusz G¸atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 127-155, April.
    4. Baxter,Martin & Rennie,Andrew, 1996. "Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521552899, September.
    5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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    Cited by:

    1. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
    2. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
    3. Patrick Bei{ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.

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    More about this item

    Keywords

    Arbitrage; Pricing operator; Countably additive measure; Martingale measure; G10; 91B24; 60B05; 46N10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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