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  • Search: subject:"Absence of arbitrage"
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Year of publication
Subject
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absence of arbitrage 5 Overlapping sets of priors 3 asynchronous trading 3 bid-ask bounce 3 bond returns 3 collective absence of arbitrage 3 correlation 3 covariance 3 equilibria with short-selling 3 exchange rates 3 measures of risk 3 stock returns 3 volatility 3 Arbitrage 2 Collective absence of arbitrage 2 Equilibria with short-selling 2 Risk Measures 2 Viability 2 arbitrage bounds 2 consistent bid-ask prices 2 convex and sublinear pricing rule 2 equilibrium 2 equilibrium bounds 2 free lunch 2 market frictions 2 range-based estimation 2 risk sharing 2 Absence of arbitrage 1 Absence of arbitrage opportunities 1 CAPM 1 Choquet pricing 1 Electronic trading 1 Elektronisches Handelssystem 1 Forecasting model 1 Incomplete market 1 Kapitalertrag 1 Market frictions 1 Martingal 1 Martingale 1 Option pricing theory 1
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Online availability
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Free 12
Type of publication
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Book / Working Paper 11 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 6 Undetermined 6
Author
All
Dana, Rose-Anne 5 Brandt, Michael W. 3 Diebold, Francis X. 3 Van, Cuong Le 3 Jouini, Elyès 2 Kallal, Hedi 2 Le Van, Cuong 2 Chateauneuf, Alain 1 Cornet, Bernard 1 Fontana, Claudio 1 Pelger, Markus 1 Platen, Eckhard 1
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Institution
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Center for Financial Studies 2 HAL 2 Université Paris-Dauphine 2 Université Paris-Dauphine (Paris IX) 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1
Published in...
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CFS Working Paper Series 2 Economics Papers from University Paris Dauphine 2 Open Access publications from Université Paris-Dauphine 2 Post-Print / HAL 2 CFS Working Paper 1 Documents de travail du Centre d'Economie de la Sorbonne 1 Economic theory bulletin 1 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1
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Source
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RePEc 9 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 10 of 12
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The risk-neutral non-additive probability with market frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory bulletin 10 (2022) 1, pp. 13-25
Persistent link: https://www.econbiz.de/10013262870
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Sure profits via flash strategies and the impossibility of predictable jumps
Fontana, Claudio; Pelger, Markus; Platen, Eckhard - 2017
Persistent link: https://www.econbiz.de/10011778192
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Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
Dana, Rose-Anne; Van, Cuong Le - HAL - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow-Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010738638
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Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures.
Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10008520042
Saved in:
Cover Image
Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures
Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine (Paris IX) - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010707106
Saved in:
Cover Image
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures.
Dana, Rose-Anne; Van, Cuong Le - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10005510595
Saved in:
Cover Image
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
Dana, Rose-Anne; Van, Cuong Le - HAL - 2007
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010750717
Saved in:
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - 2004
range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in …
Persistent link: https://www.econbiz.de/10010298281
Saved in:
Cover Image
A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in …
Persistent link: https://www.econbiz.de/10010958542
Saved in:
Cover Image
A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical …, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading 1 The …
Persistent link: https://www.econbiz.de/10005600448
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