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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

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Asset market equilibrium with liquidity risk

Jarrow, Robert A. - In: Annals of finance 14 (2018) 2, pp. 253-288

Persistent link: https://www.econbiz.de/10011945597

Variance risk premiums

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

Persistent link: https://www.econbiz.de/10003827753

Static hedging of exotic options

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

Persistent link: https://www.econbiz.de/10001243935

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 - 2020

We generalize the Kelly criterion and the growth-optimal portfolio (GOP) concept beyond log-wealth maximization. We show that models of speculative price dynamics with time change require different compounding algebras leading to GOPs that do not coincide with log-wealth maximization. In...

Persistent link: https://www.econbiz.de/10012842581

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

A generalized coherent risk measure : the firm's perspective

Jarrow, Robert A.; Purnanandam, Amiyatosh - In: Finance research letters 2 (2005) 1, pp. 23-29

Persistent link: https://www.econbiz.de/10002685600

Risky coupon bonds as a portfolio of zero-coupon bonds

Jarrow, Robert A. - In: Finance research letters 1 (2004) 2, pp. 100-105

Persistent link: https://www.econbiz.de/10003307257