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Contingent claims valued and hedged by pricing and investing in a basis
Milne, Frank (contributor); Madan, Dilip B. (contributor) - 2008
Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and...
Persistent link: https://www.econbiz.de/10003790967
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Behavioralizing finance
Shefrin, Hersh (contributor) - 2010
Persistent link: https://www.econbiz.de/10008656407
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The induced preference approach to arbitrage and diversification arguments in finance
Milne, Frank - In: European economic review : EER 31 (1987) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10001020788
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The complexities of financial risk management and systemic risks
Milne, Frank - In: Bank of Canada review (2008/09) 3, pp. 15-29
Persistent link: https://www.econbiz.de/10003896434
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Equilibrium asset returns in financial markets
Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10012013852
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Benchmarking in two price financial markets
Madan, Dilip B. - In: Annals of finance 12 (2016) 2, pp. 201-219
Persistent link: https://www.econbiz.de/10011555706
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Financial equilibrium with non-linear valuations
Madan, Dilip B. - In: Annals of finance 14 (2018) 2, pp. 211-221
Persistent link: https://www.econbiz.de/10011945593
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A two price theory of financial equilibrium with risk management implications
Madan, Dilip B. - In: Annals of finance 8 (2012) 4, pp. 489-505
Persistent link: https://www.econbiz.de/10009670963
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Two price economic equilibria and financial market bid/ask prices
Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43
Persistent link: https://www.econbiz.de/10012489935
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Uncertainty in an interconnected financial system, contagion, and market freezes
Li, Mei; Milne, Frank; Qiu, Junfeng - In: Journal of money, credit and banking : JMCB 48 (2016) 6, pp. 1135-1168
Persistent link: https://www.econbiz.de/10011707919