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General equilibrium foundations of finance : structure of incomplete markets models

Hens, Thorsten; Pilgrim, Beate - 2002

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A new characterization of equilibrium in a multi-period finance economy : a computational viewpoint

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Best-estimates in bond markets with reinvestment risk

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market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

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Benchmarked risk minimization

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Risk finance and asset pricing : value, measurements, and markets

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that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book … seminal work Risk and Financial Management. …Risk Finance and Asset Pricing: Value, Measurements, and Markets -- Contents -- Introduction -- WHO THIS BOOK IS FOR …

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Risk finance and asset pricing : value, measurements, and markets

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quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management. Covering …

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Insurance valuation : a computable multi-period cost-of-capital approach

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When Risks and Uncertainties Collide : Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets

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Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

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Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors

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Evaluating the effects of incomplete markets on risk sharing and asset pricing

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