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A general proof of the Dybvig-Ingersoll-Ross Theorem : long forward rates can never fall

Hubalek, Friedrich; Klein, Irene; Teichmann, Josef - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 447-451

Persistent link: https://www.econbiz.de/10001741960

A comment on market free lunch and free lunch

Klein, Irene - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 583-588

Persistent link: https://www.econbiz.de/10003338702

A fundamental theorem of asset pricing for large financial markets

Klein, Irene - In: Mathematical finance : an international journal of … 10 (2000) 4, pp. 443-458

Persistent link: https://www.econbiz.de/10002179054

Duality in optimal investment and consumption problems with market fricitions

Klein, Irene; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10003543127

Asymptotic arbitrage with small transaction costs

Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939

Persistent link: https://www.econbiz.de/10010416822

Binary markets under transaction costs

Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10010437205

No arbitrage theory for bond markets

Klein, Irene; Schmidt, Thorsten; Teichmann, Josef - In: Advanced modelling in mathematical finance : in honour …, (pp. 381-421). 2016

Persistent link: https://www.econbiz.de/10011800388

The limitations of no-arbitrage arguments for real options

Hubalek, Friedrich; Schachermayer, Walter - 1999

We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde...

Persistent link: https://www.econbiz.de/10005841724

On Properties of the MixedTS Distribution and Its Multivariate Extension

Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; … - In: International Statistical Review 86 (2018) 3, pp. 512-540

Persistent link: https://www.econbiz.de/10012091388

Convergence of optimal expected utility for a sequence of binomial models

Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical Finance 31 (2021) 4, pp. 1315-1331

Persistent link: https://www.econbiz.de/10012636234