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Essays on asset pricing, investor preferences, and derivative markets

Koëter, Joren - 2021

Persistent link: https://www.econbiz.de/10012627384

The contributions of Stephen A. Ross to financial economics

Brown, Stephen J.; Dybvig, Philip H.; Goetzmann, William N. - In: Annual review of financial economics 13 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012612519

Continuous-time methods in finance : a review and an assessment

Sundaresan, Suresh M. - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1569-1622

Persistent link: https://www.econbiz.de/10001505405

Complete markets with discontinuous security price

Dritschel, Michael; Protter, Philip - In: Finance and stochastics 3 (1999) 2, pp. 203-214

Persistent link: https://www.econbiz.de/10001367323

Applied derivatives : options, futures, and swaps

Rendleman, Richard J. - 2002

Persistent link: https://www.econbiz.de/10001626310

Introduzione alle valutazione delle attività rischiose

Alesii, Giuseppe - 1997

Persistent link: https://www.econbiz.de/10000168013

Continuous-time finance

Merton, Robert C. - 1990 - rev. and first publ. in paperback 1992

Persistent link: https://www.econbiz.de/10000138332

Capital market equilibrium with moral hazard

Magill, Michael; Quinzii, Martine - In: Journal of mathematical economics 38 (2002) 1/2, pp. 149-190

Persistent link: https://www.econbiz.de/10001717031

Arbitrage-Free Neural-SDE Market Models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - 2021

, we give methods to calibrate neural SDE models which are guaranteed to satisfy a set of linear inequalities. We validate …

Persistent link: https://www.econbiz.de/10013226011

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2010

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that … interpretation and also a theoretical example to illustrate our point. In the example, the CAPM is diagnosed in an economy where the … while methods that use the HJ distance can not identify the correct source of misspecification of the CAPM in this economy …

Persistent link: https://www.econbiz.de/10013147434