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A COPULA APPROACH TO DEFAULT CORRELATION AND THE PRICING OF BASKET DEFAULT SWAP
Li, Ping; Huang, Guangdong; Chen, Housheng - In: American journal of mathematical and management sciences 30 (2010) 1, pp. 19-35
Persistent link: https://www.econbiz.de/10009138285
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Dynamic arbitrage-free asset pricing with proportional transaction costs
Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - 2000
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly...
Persistent link: https://www.econbiz.de/10009709739
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Dynamic arbitrage-free asset pricing with proportional transaction costs
Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - In: Progress in economics research 7 (2004), pp. 95-111
Persistent link: https://www.econbiz.de/10003747193
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Dynamic arbitrage-free asset pricing with proportional transaction costs
Zhang, Shunming; Xu, Chunlei; Deng, Xiaotie - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 89-97
Persistent link: https://www.econbiz.de/10001686175
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Dynamic arbitrage-free asset pricing with proportional transaction costs
Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - 2000
Persistent link: https://www.econbiz.de/10001626370
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Portfolio selection theory with different interest rates for borrowing and lending
Zhang, Shunming; Wang, Shouyang; Deng, Xiaotie - In: Journal of global optimization : an international … 28 (2004) 1, pp. 67-95
Persistent link: https://www.econbiz.de/10001904197
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Portfolio Selection Theory with Different Interest Rates for Borrowing and Leading
Zhang, Shunming; Zhang, Shunming; Wang, Shouyang; Deng, … - In: Journal of global optimization : an international … 28 (2004) 1, pp. 67-96
Persistent link: https://www.econbiz.de/10007155808
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Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs
ZHANG, SHUNMING; XU, CHUNLEI; DENG, XIAOTIE - In: Mathematical Finance 12 (2002) 1, pp. 89-97
Persistent link: https://www.econbiz.de/10005139671
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Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs
Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - University of Western Ontario, Department of Economics - 2000
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and Strongly arbitrage-free security markets, and establish the weakly...
Persistent link: https://www.econbiz.de/10005812609
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Dynamic arbitrage-free asset pricing with proportional transaction costs
Deng, Xiaotie; Xu, Chunlei; Zhang, Shunming - 2000
This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly...
Persistent link: https://www.econbiz.de/10010291997