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Search: subject_exact:"Arbitrage pricing theory"
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553
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1
Arbitrage, contract design, and market structure in Bitcoin futures markets
De Blasis, Riccardo
;
Webb, Alexander
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 492-524
Persistent link: https://www.econbiz.de/10012817947
Saved in:
2
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
3
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
4
Arbitrage pricing in non-Walrasian financial markets
Carvajal, Andrés
- In:
Economic theory : official journal of the Society for …
66
(
2018
)
4
,
pp. 951-978
Persistent link: https://www.econbiz.de/10012010925
Saved in:
5
Asset pricing with spatial interaction
Kou, Steven
;
Peng, Xianhua
;
Zhong, Haowen
- In:
Management science : journal of the Institute for …
64
(
2018
)
5
,
pp. 2083-2101
Persistent link: https://www.econbiz.de/10011873966
Saved in:
6
Arbitrage-free XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Saved in:
7
US lodging firms' exposure to energy price risk
Lee, Seul Ki
;
Jang, Soocheong
- In:
Tourism economics : the business and finance of tourism …
21
(
2015
)
5
,
pp. 1095-1102
Persistent link: https://www.econbiz.de/10011416437
Saved in:
8
Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand
- In:
Journal of banking & finance
53
(
2015
),
pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
Saved in:
9
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
10
Survival, arbitrage, and equilibrium with financial derivatives in constrained asset markets
Hahn, Guangsug
;
Won, Dongchul
- In:
Seoul journal of economics
25
(
2012
)
4
,
pp. 441-461
Persistent link: https://www.econbiz.de/10010219956
Saved in:
11
The pricing of forward and futures contracts
Dubofsky, David A.
- In:
Financial derivatives : pricing and risk management
,
(pp. 351-369)
.
2010
Persistent link: https://www.econbiz.de/10003920433
Saved in:
12
A finite-dimensional HJM model : how important is arbitrage-free evolution?
Devin, Siobhán
;
Hanzon, Bernard
;
Ribarits, Thomas
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1241-1263
Persistent link: https://www.econbiz.de/10008906164
Saved in:
13
Cross-listed cross-currency assets and arbitrage with forwards and options
Ghosh, Dilip K.
;
Ghosh, Dipasri
;
Bhatnagar, Chandra Shekhar
- In:
Global finance journal
21
(
2010
)
1
,
pp. 98-110
Persistent link: https://www.econbiz.de/10008990273
Saved in:
14
Arbitrage pricing of credit derivatives
Ho, Siu Lam
;
Wu, Lixin
- In:
Credit risk : models, derivatives, and management
,
(pp. 427-455)
.
2008
Persistent link: https://www.econbiz.de/10003718589
Saved in:
15
An arbitrage perspective of the purpose and structure of financial markets
Dubil, Robert
-
2008
Persistent link: https://www.econbiz.de/10003763467
Saved in:
16
Using Tucher's theorem of the alternative to simplify, review and expand discrete arbitrage theory
Kallio, Markku
;
Ziemba, William T.
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2281-2302
Persistent link: https://www.econbiz.de/10003522917
Saved in:
17
Arbitrage synthetic CDOs
Fery, Loic
- In:
Asset securitisation and synthetic structures : …
,
(pp. 194-203)
.
2006
Persistent link: https://www.econbiz.de/10003340432
Saved in:
18
Trading intensity, volatility, and arbitrage activity
Taylor, Nicholas
- In:
Journal of banking & finance
28
(
2004
)
5
,
pp. 1137-1162
Persistent link: https://www.econbiz.de/10002006814
Saved in:
19
An application of threshold cointegration to Taiwan stock index futures and spot markets
Lin, Ching-chung
;
Chen, Shen-yuan
;
Hwang, Dar-yeh
- In:
Review of Pacific Basin financial markets and policies
6
(
2003
)
3
,
pp. 291-304
Persistent link: https://www.econbiz.de/10001838414
Saved in:
20
A note on arbitrage-free pricing of forward contracts in energy markets
Benth, Fred Espen
;
Ekeland, Lars
;
Hauge, Ragnar
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 325-336
Persistent link: https://www.econbiz.de/10001864254
Saved in:
21
Concentration on the nearby contract in financial futures markets : a stochastic model to explain the phenomenon
Bamberg, Günter
;
Dorfleitner, Gregor
- In:
Journal of economics and finance
24
(
2000
)
3
,
pp. 246-259
Persistent link: https://www.econbiz.de/10001569180
Saved in:
22
Markov-functional interest rate models
Hunt, Phil J.
;
Kennedy, Joanne
;
Pelsser, Antoon André Jean
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
Saved in:
23
A general methodology to price and hedge derivatives in incomplete markets
Aurell, Erik
(
contributor
)
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001488345
Saved in:
24
Deriving closed-form solutions for Gaussian pricing models : a systematic time-domain approach
Levin, Alexander
- In:
International journal of theoretical and applied finance
1
(
1998
)
3
,
pp. 349-376
Persistent link: https://www.econbiz.de/10001251049
Saved in:
25
Valoración y arbitraje en contratos de futuro
Alañón Pardo, Ángel
- In:
Revista de economía aplicada : publicación cuatrimestral
4
(
1996
)
11
,
pp. 27-55
Persistent link: https://www.econbiz.de/10001232031
Saved in:
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