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Prices in Financial Markets

Citations

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Cited by:

  1. Michael J. Stutzer, 1989. "Duality and arbitrage with transactions costs: theory and applications," Staff Report 128, Federal Reserve Bank of Minneapolis.
  2. 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.
  3. repec:dau:papers:123456789/5374 is not listed on IDEAS
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Victor Goodman & Kyounghee Kim, 2006. "One-Factor Term Structure without Forward Rates," Papers math/0612035, arXiv.org, revised Dec 2006.
  21. 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.
  22. 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.
  23. 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.
  24. 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).
  25. Bryan Ellickson, 1995. "Intertemporal Insurance," UCLA Economics Working Papers 742, UCLA Department of Economics.
  26. 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.
  27. Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
  28. George Bouzianis & Lane P. Hughston & Leandro S'anchez-Betancourt, 2022. "Information-Based Trading," Papers 2201.08875, arXiv.org, revised Jan 2024.
  29. 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.
  30. Horvath, Philip A., 1995. "Compounding/discounting in continuous time," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(3), pages 315-325.
  31. Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
  32. 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.
  33. 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.
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