Similar Search Results

Bessel processes, Asian options, and perpetuities

Geman, Hélyette - In: Mathematical finance : an international journal of … 3 (1993) 4, pp. 349-375

Persistent link: https://www.econbiz.de/10001185120

Stochastic volatility, jumps and hidden time changes

Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 6 (2002) 1, pp. 63-90

Persistent link: https://www.econbiz.de/10001643753

The fine structure of asset returns : an empirical investigation

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: The journal of business : B 75 (2002) 2, pp. 305-332

Persistent link: https://www.econbiz.de/10001682409

Correlation and the pricing of risks

Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Annals of finance 3 (2007) 4, pp. 411-453

Persistent link: https://www.econbiz.de/10003529804

On models of default risk

Elliott, Robert J. R.; Jeanblanc, Monique; Yor, Marc - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 179-195

Persistent link: https://www.econbiz.de/10002177437

On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets

Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328

Persistent link: https://www.econbiz.de/10011577146

Hedging of contingent claims under incomplete information

Föllmer, Hans; Schweizer, Martin - 1990

Persistent link: https://www.econbiz.de/10000811991

Equilibria in financial markets with heterogeneous agents : a probabilistic perspective

Föllmer, Hans; Horst, Ulrich; Kirman, Alan P. - In: Journal of mathematical economics 41 (2005) 1/2, pp. 123-155

Persistent link: https://www.econbiz.de/10002643219

Shifting martingale measures and the birth of a bubble as a submartingale

Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10010340747

Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1999

Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market price of risk (lambda). For utility functions that do not...

Persistent link: https://www.econbiz.de/10010956408