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1
Book / Working Paper 		Coherent price systems and uncertainty-neutral valuation
Year:                     
2012
Person:  Beißner, Patrick
Publisher:  Bielefeld : Inst. of Mathematical Economics, IMW
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2
Article 		Asset pricing in a fractional market under transaction costs
Year:                     
2012
Person:  Gisin, Vladimir; Markov, Andrey
Published in:  Market risk and financial markets modeling
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3
Book / Working Paper 		Pricing Options on Commodity Futures: The Role of Weather and Storage
Year:                     
2011-05-03
Person:  Bozic, Marin; Fortenbery, T. Randall
Institution:  Agricultural and Applied Economics Association - AAEA
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4
Other 		Pricing Options on Commodity Futures: The Role of Weather and Storage
Year:                     
2011-05-03
Person:  Bozic, Marin; Fortenbery, T. Randall
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5
Book / Working Paper 		Enhanced Forecasting Methods, Fat Tails, and their Applications in Finance
Year:                     
2011-01-13
Person:  Scherrer, Christian
Publisher:  Universität Karlsruhe
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6
Article 		Using the capital asset pricing model and arbitrage pricing theory in capital budgeting
Year:                     
2011
Person:  Young, S. David; Saadi, Samir
Published in:  Capital budgeting valuation : financial analysis for today's investment projects
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7
Article 		Diversity and arbitrage in a regulatory breakup model
Year:                     
2011
Person:  Strong, Winslow; Fouque, Jean-Pierre
Published in:  Annals of finance ; 7
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8
Book / Working Paper 		Preferred-habitat investors and the US term structure of real rates
Year:                     
2011
Person:  Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriele
Publisher:  London : Bank of England
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9
Article 		Arbitrage-free credit pricing using default probabilities and risk sensitivities
Year:                     
2011
Person:  Blöchlinger, Andreas
Published in:  Journal of banking & finance ; 35
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10
Article 		An empirical investigation of the arbitrage pricing theory in a frontier stock market : evidence from Bangladesh
Year:                     
2011
Person:  Faruque, Muhammad Umar
Published in:  Indian journal of economics & business : IJEB ; 10
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11
Article 		Adverse selection, segmented markets, and the role of monetary policy
Year:                     
2011
Person:  Sanches, Daniel; Williamson, Stephen
Published in:  Macroeconomic dynamics ; 15
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12
Article 		Limits-to-arbitrage, investment frictions, and the asset growth anomaly
Year:                     
2011
Person:  Lam, F. Y. Eric C.; Wei, K. C. John
Published in:  Journal of financial economics ; 102
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13
Article 		The return impact of realized and expected idiosyncratic volatility
Year:                     
2011
Person:  Peterson, David R.; Smedema, Adam R.
Published in:  Journal of banking & finance ; 35
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14
Book / Working Paper 		Notes on bonds : liquidity at all costs in the great recession
Year:                     
2011
Person:  Musto, David; Nini, Greg; Schwarz, Krista
Publisher:  Philadelphia, Pa. : Rodney L. White Center for Financial Research
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15
Book / Working Paper 		Financial engineering and arbitrage in the financial markets
Year:                     
2011
Person:  Dubil, Robert
Publisher:  Chichester : Wiley
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16
Article 		Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Year:                     
2011
Person:  Denis, Emmanuel; Kabanov, Yuri
Published in:  Finance and stochastics ; 16
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17
Book / Working Paper 		Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
Year:                     
2011
Person:  Fengler, Matthias R.; Hin, Lin-yee
Publisher:  St. Gallen : School of Economics and Political Science, Dep. of Economics, Univ.
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18
Article 		Test of arbitrage pricing theory on the Tehran Stock Exchange : the case of a Shariah-compliant close economy
Year:                     
2011
Affiliated person:  Sabetfar, Pooya; Cheng, Fan Fah; Mohamad, Shamsher; Amin Noordin, Bany Ariffin
Published in:  International journal of economics and finance ; 3
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19
Book / Working Paper 		Holding on to your shorts : when do short sellers retreat?
Year:                     
2011
Person:  Savor, Pavel G.; Gamboa-Cavazos, Mario
Publisher:  Philadelphia, Pa. : Wharton School, University of Pennsylvania
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20
Book / Working Paper 		Preferred-habitat investors and the US term structure of real rates
Year:                     
2011
Person:  Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriela
Publisher:  London : LSE Financial Markets Group
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21
Article 		A note on the existence of the power investor's optimizer
Year:                     
2011
Person:  Larsen, Kasper
Published in:  Finance and stochastics ; 15
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22
Book / Working Paper 		Arbitrage and the price of oil
Year:                     
2011
Person:  Arora, Vipin
Publisher:  Canberra : ANU College of Business & Economics
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23
Book / Working Paper 		Limits to arbitrage and hedging : evidence from commodity markets
Year:                     
2011
Person:  Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun
Publisher:  Cambridge, Mass.
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24
Article 		Fractional processes as models in stochastic finance
Year:                     
2011
Person:  Bender, Christian; Sottinen, Tommi; Valkeila, Esko
Published in:  Advanced mathematical methods for finance
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25
Book / Working Paper 		Determinants of Stock Market Prices in Namibia
Year:                     
2011
Person:  Eita, Joel Hinaunye
Institution:  Economic Research Southern Africa (ERSA)
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26
Book / Working Paper 		Pricing Options on Commodity Futures: The Role of Weather and Storage
Year:                     
2010-12
Person:  Bozic, Marin
Institution:  Ekonomski Institut Zagreb
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27
Book / Working Paper 		Statistical evidence of tax fraud on the carbon allowances market.
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28
Book / Working Paper 		From the Decompositions of a Stopping Time to Risk Premium Decompositions
Year:                     
2010-06-01
Person:  Coculescu, Delia
Institution:  Swiss National Centre of Competence in Research North South <Bern>
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29
Book / Working Paper 		Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes.
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30
Book / Working Paper 		Statistical evidence of tax fraud on the carbon allowances market
Year:                     
2010-06
Person:  Frunza, Marius-Cristian; Guegan, Dominique; Lassoudière, Antonin
Institution:  HAL
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31
Book / Working Paper 		Statistical evidence of tax fraud on the carbon allowances market
Year:                     
2010-06
Person:  Frunza, Marius-Cristian; Guegan, Dominique; Lassoudière, Antonin
Institution:  HAL
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32
Book / Working Paper 		Autoregressive multifactor APT model for U.S. Equity Markets
Year:                     
2010-04-15
Person:  Malhotra, Karan
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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33
Article 		Teoría de precios de arbitraje : evidencia empírica para Colombia a través de redes neuronales
Year:                     
2010
Affiliated person:  Londoño H., Charle Augusto; Lopera Castaño, Mauricio; Restrepo, Sergio
Published in:  Revista de economía del Rosario ; 13
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34
Article 		The performance of asset pricing models before, during, and after an emerging market financial crisis: evidence from Indonesia
Year:                     
2010
Affiliated person:  Febrian, Erie; Herwany, Aldrin
Published in:  The international journal of business and finance research : IJBFR ; 4
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35
Article 		The value and price of active management
Year:                     
2010
Affiliated person:  Jacobsen, Brian J.
Published in:  Journal / The Capco Institute : journal of financial transformation ; 29
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36
Article 		Factor tilting for expected utility maximization
Year:                     
2010
Affiliated person:  Boer, Sanne de
Published in:  The journal of asset management ; 11
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37
Article 		Market imperfections and the pricing of currency futures
Year:                     
2010
Affiliated person:  Wang, Janchung
Published in:  Finance India : the quarterly journal of Indian Institute of Finance ; 24
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38
Article 		Pricing errors and estimates of risk premia in factor models
Year:                     
2010
Person:  Sawyer, Kim; Gygax, André; Hazledine, Matthew
Publisher:  Springer
Published in:  Annals of Finance
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39
Article 		Leveraged Levy processes as models for stock prices
Year:                     
2010
Person:  Madan, Dilip; Xiao, Yue
Publisher:  Taylor and Francis Journals
Published in:  Quantitative Finance
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40
Book / Working Paper 		The British Russian option
Year:                     
2010
Person:  Glover, Kristoffer; Peskir, Goran; Samee, Farman
Publisher:  Sydney : Quantitative Finance Research Centre, School of Finance and Economics, Univ. of Techn.
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41
Book / Working Paper 		Asset pricing and portfolio choice theory
Year:                     
2010
Person:  Back, Kerry E.
Publisher:  Oxford [u.a.] : Oxford Univ. Press
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42
Book / Working Paper 		Markovian defaultable HJM term structure models with unspanned stochastic volatility
Year:                     
2010
Person:  Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos Sklibosios, Christina
Publisher:  Sydney : Quantitative Finance Research Centre, School of Finance and Economics, Univ. of Techn.
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43
Book / Working Paper 		A survey of non-linear methods for no-arbitrage bond pricing
Year:                     
2010
Person:  Chiarella, Carl; Hsia, Chih-ying; Ming Xi Huang
Publisher:  Sydney : Quantitative Finance Research Centre, School of Finance and Economics, Univ. of Techn.
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44
Article 		Arbitrage and equilibrium with portfolio contraints
Year:                     
2010
Person:  Cornet, Bernard; Gopalan, Ramu
Published in:  Economic theory ; 45
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45
Book / Working Paper 		To segment or not to segment markets? : a note on the profitability of market segmentation for an international oligopoly
Year:                     
2010
Person:  Gallo, Fredrik
Publisher:  Lund : Dep. of Economics, Lund University
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46
Article 		Real-world pricing for a modified constant elasticity of variance model
Year:                     
2010
Person:  Miller, Shane M.; Platen, Eckhard
Published in:  Applied mathematical finance ; 17
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47
Article 		Irreversible investment and discounting : an arbitrage pricing approach
Year:                     
2010
Person:  Thijssen, Jacco J. J.
Published in:  Annals of finance ; 6
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48
Article 		Pricing errors and estimates of risk premia in factor models
Year:                     
2010
Person:  Sawyer, Kim R.; Gygax, André F.; Hazledine, Matthew
Published in:  Annals of finance ; 6
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49
Article 		Probabilistic aspects of arbitrage
Year:                     
2010
Person:  Fernholz, Daniel; Karatzas, Ioannis
Published in:  Contemporary quantitative finance : essays in honour of Eckhard Platen
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50
Article 		Arbitrage risk and stock mispricing
Year:                     
2010
Person:  Doukas, John A.; Kim, Chansog; Pantzalis, Christos
Published in:  Journal of financial and quantitative analysis : JFQA ; 45
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