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Benchmarking and fair pricing applied to two market models
Hulley, Hardy; Miller, Shane; Platen, Eckhard - In: The Kyoto economic review 74 (2005) 1, pp. 85-118
Persistent link: https://www.econbiz.de/10003379597
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Simulation of diversified portfolios in a continuous financial market
Platen, Eckhard; Rendek, Renata - 2009
Persistent link: https://www.econbiz.de/10008662353
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A benchmark approach to investing and pricing
Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10008662367
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Simulation of diversified portfolios in a continuous financial market
Platen, Eckhard; Rendek, Renata - 2010
Persistent link: https://www.econbiz.de/10008663093
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Approximating the numéraire portfolio by naive diversification
Platen, Eckhard; Rendek, Renata - 2010
Persistent link: https://www.econbiz.de/10008663094
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Disconnect and information content of international capital flows : evidence and theory
Tille, Cédric; Van Wincoop, Eric - 2009
Persistent link: https://www.econbiz.de/10003974928
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011
Persistent link: https://www.econbiz.de/10008904175
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Regulating Asset Price Risk
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011
There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...
Persistent link: https://www.econbiz.de/10008905464
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Persistent link: https://www.econbiz.de/10003991187
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Persistent link: https://www.econbiz.de/10003994653