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Continuous-Time Methods in Finance: A Review and an Assessment.
Sundaresan, S.M. - Graduate School of Business, Columbia University - 2000
I survey and assess the development of continuous-time methods in finance during the last 30 years. The subperiod 1969 … to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory …. Capital market frictions, and bargaining issues are being increasingly incorporated in continuous-time theory. …
Persistent link: https://www.econbiz.de/10005207595
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LIMIT MOVES AND PRICE RESOLUTION: THE CASE OF THE TREASURY BOND FUTURES MARKETS.
MA, C.K.; RAO, R.P.; SEARS, R.S. - Graduate School of Business, Columbia University - 1988
Persistent link: https://www.econbiz.de/10005207777
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VALUATION OF SWAPS.
SUNDARESAN, S. - Graduate School of Business, Columbia University - 1989
Persistent link: https://www.econbiz.de/10005776689
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MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE.
BAILLIE, R.T.; MYERS, R.J. - Graduate School of Business, Columbia University - 1989
Persistent link: https://www.econbiz.de/10005675199
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COSTOMER RISK AND THE REGULATION OF FUTURES COMMISSION MARCHANTS.
JORDAN, J.V.; MORGAN, J.E. - Graduate School of Business, Columbia University - 1989
Persistent link: https://www.econbiz.de/10005675204
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NONLINEARITIES AND CHAOTIC EFFECTS IN OPTIONS PRICES.
SAVIT, R. - Graduate School of Business, Columbia University - 1989
Persistent link: https://www.econbiz.de/10005675209
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"CHAOS" IN FUTURES MARKETS? A NONLINEAR DYNAMICAL ANALYSIS.
BLANCK, S.C. - Graduate School of Business, Columbia University - 1990
Persistent link: https://www.econbiz.de/10005647013
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EXPLORING THE SHARE OF PROBABILITY DENSITIES FOR FUTURES PRICE CHANGES.
NELSON, R.D. - Graduate School of Business, Columbia University - 1988
Persistent link: https://www.econbiz.de/10005647020
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THE INTRADAY ANALYSIS OF LIQUIDITY AND PRICE VOLATILITY IN THE S&P 500 INDEX FUTURES MARKET.
WANG, G.H.K.; MICHALSKI, R.J.; MARIARTY, E.J.; JOURDAN, J.V. - Graduate School of Business, Columbia University - 1990
Persistent link: https://www.econbiz.de/10005647022
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TRADING STRUCTURES AND ASSET PRICING: EVIDENCE FROM THE TREASURY BILL MARKETS.
KAMARA, A. - Graduate School of Business, Columbia University - 1988
Persistent link: https://www.econbiz.de/10005647026