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A note on the pricing of commodity-linked bonds

Carr, Peter - In: The journal of finance : the journal of the American … 42 (1987) 4, pp. 1071-1076

Persistent link: https://www.econbiz.de/10001055592

Variance risk premiums

Carr, Peter; Wu, Liuren - In: The review of financial studies 22 (2009) 3, pp. 1311-1341

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Static hedging of exotic options

Carr, Peter - In: The journal of finance : the journal of the American … 53 (1998) 3, pp. 1165-1190

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The stop-loss start-gain paradox and option valuation : a new decomposition into intrinsic and time value

Carr, Peter - In: The review of financial studies 3 (1990) 3, pp. 469-492

Persistent link: https://www.econbiz.de/10001105894

Generalized compounding and growth optimal portfolios reconciling Kelly and Samuelson

Carr, Peter; Cherubini, Umberto - In: The journal of derivatives : JOD 30 (2022) 2, pp. 74-93

Persistent link: https://www.econbiz.de/10014231108

Essays on information, hedging, volatility in financial market

Xiao, Yajun - 2009

Persistent link: https://www.econbiz.de/10003916641

Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk

Lütkebohmert-Holtz, Eva; Oeltz, Daniel; Xiao, Yajun - In: European financial management : the journal of the … 23 (2017) 1, pp. 55-86

Persistent link: https://www.econbiz.de/10011713417

Asset Pricing with Heterogeneous and Constrained Investors

Shi, Lei - 2019

We analyze the joint effect of borrowing and short-sale constraints in a dynamic economy populated by two constrained investors with heterogeneous risk aversions and beliefs. We find that equilibrium prices adjust in such a way that the constraints never simultaneously bind. When the constraints...

Persistent link: https://www.econbiz.de/10012898602

Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market

Ewald, Christian-Oliver - In: International journal of theoretical and applied finance 8 (2005) 3, pp. 301-319

Persistent link: https://www.econbiz.de/10002893241

Optimal investment for a pension fund under inflation risk

Zhang, Aihua; Ewald, Christian-Oliver - In: Mathematical methods of operations research 71 (2010) 2, pp. 353-369

Persistent link: https://www.econbiz.de/10003958364