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Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …
Persistent link: https://www.econbiz.de/10013441427
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Schätzung von Zinsstrukturen für den SFr.-Kapitalmarkt unter Berücksichtigung von Friktionen
Tobler, Jürg - 1996
Persistent link: https://www.econbiz.de/10013418022
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Empirical models of the intraday process of price changes and liquidity : a transaction level approach
Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763098
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Preferred-habitat investors and the US term structure of real rates
Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriela - 2011
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The term structure in our model is determined through the interaction of risk-averse arbitrageurs and preferred-habitat investors with preferences for...
Persistent link: https://www.econbiz.de/10008907766
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Preferred-habitat investors and the US term structure of real rates
Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriele - 2011
Persistent link: https://www.econbiz.de/10009244096
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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
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Market Expectations and Option Prices : Techniques and Applications
Mandler, Martin - 2003
represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in …
Persistent link: https://www.econbiz.de/10013519008