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Pricing and Hedging of Derivative Securities

Citations

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Cited by:

  1. Ricardo T. Fernholz, 2017. "The distributional effects of progressive capital taxes," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 20(2), pages 99-112, April.
  2. Ricardo T. Fernholz & Christoffer Koch, 2016. "Why are big banks getting bigger?," Working Papers 1604, Federal Reserve Bank of Dallas.
  3. Ricardo T. Fernholz, 2016. "Empirical Methods for Dynamic Power Law Distributions in the Social Sciences," Papers 1602.00159, arXiv.org, revised Jun 2016.
  4. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
  5. Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  6. Ricardo T. Fernholz & Christoffer Koch, 2016. "The Rank Effect for Commodities," Papers 1607.07510, arXiv.org.
  7. Hösler, Jörg & Piterbarg, Vladimir & Rumyantseva, Ekaterina, 2011. "Extremes of Gaussian processes with a smooth random variance," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2592-2605, November.
  8. Bernd Heidergott & Warren Volk-Makarewicz, 2013. "A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles," Tinbergen Institute Discussion Papers 13-082/III, Tinbergen Institute.
  9. 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.
  10. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  11. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
  12. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
  13. Ricardo T. Fernholz & Caleb Stroup, 2018. "Asset Price Distributions and Efficient Markets," Papers 1810.12840, arXiv.org.
  14. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  15. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
  16. Segura-Rodríguez, Diana Carmen & Venegas-Martínez, Francisco & Allier-Campuzano, Héctor, 2014. "Análisis estocástico de una economía pequeña y abierta: políticas fiscal y monetaria," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(41), pages 21-52, segundo s.
  17. Lars Tyge Nielsen, 2018. "Characterization of the Ito Integral," Papers 1812.09637, arXiv.org.
  18. Lars Tyge Nielsen, 2019. "Instantaneous Arbitrage and the CAPM," Papers 1901.05113, arXiv.org.
  19. Will Hicks, 2018. "PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation," Papers 1812.00839, arXiv.org, revised Jan 2019.
  20. Robert M. Anderson & Roberto C. Raimondo, 2003. "Market Clearing and Derivative Pricing," Discussion Papers 03-17, University of Copenhagen. Department of Economics.
  21. Kenjiro Hori, 2005. "Job Matching with Multiple-Hiring Firms and Heterogeneous Workers: A Microfoundation," Birkbeck Working Papers in Economics and Finance 0514, Birkbeck, Department of Economics, Mathematics & Statistics.
  22. Francisco Venegas Martínez & Abigail Rodríguez Nava, 2009. "Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-64, November.
  23. Ricardo T. Fernholz, 2016. "A Statistical Model of Inequality," Papers 1601.04093, arXiv.org.
  24. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.
  25. Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany.
  26. Timo Willershausen & Sascha H. Mölls & Karl-Heinz Schild, 2007. "Unsicherheit und der Wert realer Optionen," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 314-332, May.
  27. Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
  28. A. Gulisashvili & E. M. Stein, 2009. "Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models," Papers 0906.0392, arXiv.org.
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