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Search: subject:"pricing kernels"
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pricing kernels
13
Option pricing theory
10
Optionspreistheorie
10
CAPM
6
Volatility
6
Volatilität
6
risk aversion
6
Estimation
5
Schätzung
5
Stochastic process
5
Stochastischer Prozess
5
Börsenkurs
4
Capital income
4
Kapitaleinkommen
4
Portfolio selection
4
Portfolio-Management
4
Yield curve
4
Zinsstruktur
4
Anlageverhalten
3
Derivat
3
Derivative
3
Estimation theory
3
Interest rate derivative
3
Lévy processes
3
Schätztheorie
3
Share price
3
Theorie
3
Zinsderivat
3
risk neutral density
3
ARCH model
2
ARCH-Modell
2
Hedging
2
Index-Futures
2
Interest rate
2
Risikoaversion
2
Simulation
2
Theory
2
Time-inhomogeneous Markov processes
2
Zins
2
affine model
2
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Online availability
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Free
14
Undetermined
8
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Article
14
Book / Working Paper
10
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Article in journal
11
Aufsatz in Zeitschrift
11
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4
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1
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1
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1
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Language
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English
18
Undetermined
4
German
2
Author
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Härdle, Wolfgang Karl
4
Macrina, Andrea
4
Hughston, Lane P.
3
Augustyniak, Maciej
2
Badescu, Alexandru
2
Barros Luís, Jorge
2
Bégin, Jean-François
2
Cassola, Nuno
2
Giacomini, Enzo
2
Handel, Michael
2
AKAHORI, JIRÔ
1
Akahori, Jirô
1
Aloosh, Arash
1
Andrikopoulos, Alexandru
1
Beare, Brendan K.
1
Bekaert, Geert
1
Bouzianis, George
1
Brody, Dorje C.
1
Chabi-Yo, Fousseni
1
Chen, Yuting
1
Coakley, Jerry
1
Cui, Zhenyu
1
Grith, Maria
1
Heijden, Thijs van der
1
Härdle, Wolfgang K.
1
Jayaraman, Sarath Kumar
1
Kirchner, Christian F. W.
1
Kirchner, Christian Friedrich Wolfgang
1
Kuo, Jing-Ming
1
Li, Bingxin
1
Liu, Xiaoquan
1
MACRINA, ANDREA
1
Mahomed, Obeid
1
Meier, David M.
1
Ortega, Juan-Pablo
1
Ou, Fangzheng
1
Parbhoo, Priyanka A.
1
Park, Juhyun
1
Potì, Valerio
1
Renaut, Eric
1
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Institute of Economic Research, Kyoto University
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Department of Economics, University of California-San Diego (UCSD)
1
European Central Bank
1
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SFB 649 Discussion Paper
3
International journal of theoretical and applied finance
2
KIER Working Papers
2
SFB 649 Discussion Papers
2
Application of operations research to financial markets
1
Applied mathematical finance
1
ECB Working Paper
1
Economics letters
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking and finance
1
Journal of econometrics
1
Journal of financial econometrics
1
Management Science
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
The European journal of finance
1
The journal of futures markets
1
University of California at San Diego, Economics Working Paper Series
1
Working Paper Series / European Central Bank
1
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ECONIS (ZBW)
12
RePEc
8
EconStor
4
Showing
1
-
10
of
24
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relevance
articles prioritized
date (newest first)
date (oldest first)
1
A general option pricing framework for affine fractionally integrated models
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of banking and finance
171
(
2025
),
pp. 1-22
Persistent link: https://www.econbiz.de/10015558529
Saved in:
2
Systemic perspective of term risk in bank funding markets
Macrina, Andrea
;
Mahomed, Obeid
- In:
International journal of theoretical and applied …
27
(
2024
)
3/4
,
pp. 1-55
Persistent link: https://www.econbiz.de/10015558943
Saved in:
3
Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
Chen, Yuting
;
Potì, Valerio
- In:
Economics letters
235
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015071365
Saved in:
4
Arbitrage pricing theory for idiosyncratic variance factors
Renaut, Eric
;
Heijden, Thijs van der
;
Werker, Bas J. M.
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1403-1442
Persistent link: https://www.econbiz.de/10014444683
Saved in:
5
Illuminating the
pricing
kernels
: short-term and long-term index option returns
Li, Bingxin
;
Ou, Fangzheng
- In:
The journal of futures markets
45
(
2025
)
10
,
pp. 1795-1817
Persistent link: https://www.econbiz.de/10015464912
Saved in:
6
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
7
Currency factors
Aloosh, Arash
;
Bekaert, Geert
- In:
Management science : journal of the Institute for …
68
(
2022
)
6
,
pp. 4042-4064
Persistent link: https://www.econbiz.de/10013369016
Saved in:
8
Optimal hedging in incomplete markets
Bouzianis, George
;
Hughston, Lane P.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
Saved in:
9
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
10
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
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