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  • Search: subject:"State Price Deflators"
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Year of publication
Subject
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Arbitrage 2 Heath-Jarrow-Morton 2 insurance pricing 2 state price deflators 2 Asset Pricing 1 Cash Flow 1 Cash flow 1 Free Lunch 1 Free lunch 1 Fundamental theorem of asset pricing 1 Investment Opportunities 1 Investment opportunities 1 Option pricing theory 1 Optionspreistheorie 1 State Price Deflators 1 State price deflators 1 Yield curve 1 Zinsstruktur 1
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Online availability
All
Free 3
Type of publication
All
Article 2 Book / Working Paper 2
Type of publication (narrower categories)
All
Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 3 Undetermined 1
Author
All
Alm, Jonas 2 Jouini, Elyès 2 Lindskog, Filip 2 Napp, Clotilde 2
Institution
All
HAL 1 Université Paris-Dauphine (Paris IX) 1
Published in...
All
Economics Papers from University Paris Dauphine 1 Post-Print / HAL 1 Risks 1 Risks : open access journal 1
Source
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RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
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Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
Alm, Jonas; Lindskog, Filip - In: Risks 3 (2015) 3, pp. 338-364
In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes...
Persistent link: https://www.econbiz.de/10011709531
Saved in:
Cover Image
Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
Alm, Jonas; Lindskog, Filip - In: Risks : open access journal 3 (2015) 3, pp. 338-364
In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes...
Persistent link: https://www.econbiz.de/10011402599
Saved in:
Cover Image
Arbitrage and state price deflators in a general intertemporal framework
Napp, Clotilde; Jouini, Elyès - HAL - 2005
In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is …
Persistent link: https://www.econbiz.de/10008791170
Saved in:
Cover Image
Arbitrage and state price deflators in a general intertemporal framework
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005
In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is …
Persistent link: https://www.econbiz.de/10011073862
Saved in:
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