Similar Search Results - EconBiz

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10010324068

Financial risk and derivatives : a special issue of the Geneva papers on risk and insurance theory

Loubergé, Henri (contributor); … - 1996 - 2. print

Persistent link: https://www.econbiz.de/10000960176

The term structure of interest rates : alternative approaches and their implications for the valuation of contingent claims

Subrahmanyam, Marti G. - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 7-28

Persistent link: https://www.econbiz.de/10001334894

Special issue on insurance and financial risk management

Loubergé, Henri (contributor); … - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 5-141

Persistent link: https://www.econbiz.de/10001210083

Who buys and who sells options : the role of options in an economy with background risk

Franke, Günter - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001246473

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10011544342

Pricing of spread options on a bivariate jump market and stability to model risk

Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62

Persistent link: https://www.econbiz.de/10010505172

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Another look at the Ho-Lee bond option pricing model

Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53

Persistent link: https://www.econbiz.de/10011965408

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models

Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366

Persistent link: https://www.econbiz.de/10011945791

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