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The dynamics of financially constrained arbitrage
Gromb, Denis; Vayanos, Dimitri - 2015
Persistent link: https://www.econbiz.de/10010499506
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A direct approach to arbitrage-free pricing of credit derivatives
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998
Persistent link: https://www.econbiz.de/10000671238
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Arbitrage, factor structure, and mean-variance analysis on large asset markets
Chamberlain, Gary; Rothschild, Michael - 1982
Persistent link: https://www.econbiz.de/10009571475
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Liquidity risk and the dynamics of arbitrage capital
Kondor, Péter; Vayanos, Dimitri - 2014
Persistent link: https://www.econbiz.de/10010258231
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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - 2007
Persistent link: https://www.econbiz.de/10003604248
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An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E.; Diebold, Francis X.; … - 2008
Persistent link: https://www.econbiz.de/10003778773
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Arbitrage-free limit order books and the pricing of order flow risk
Lehmann, Bruce Neal - 2008
schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states …
Persistent link: https://www.econbiz.de/10003681900
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Professor Zipf goes to Wall Street
Malevergne, Yannick; Santa-Clara, Pedro; Sornette, Didier - 2009
Persistent link: https://www.econbiz.de/10003878228
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Measuring market integration : a model of arbitrage with an econometric application to the gold standard, 1879-1913
Prakash, Gauri; Taylor, Alan M. - 1997
Persistent link: https://www.econbiz.de/10000630582