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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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On the order form of the fundamental theorems of asset pricing
Kountzakis, Christos E. - In: Journal of mathematical finance 4 (2014) 4, pp. 221-233
Persistent link: https://www.econbiz.de/10011312424
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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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Zur Mikrostrukturanalyse realer Kapitalmärkte : Gleichgewichtstheorie versus Ungleichgewichtsrealität
Vogt, Claudia - 1993
Persistent link: https://www.econbiz.de/10000885395
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Asset pricing and trading volume in heterogeneous agent models with incomplete markets
Theler, Jean-Paul - 1994
Persistent link: https://www.econbiz.de/10000889769
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Asset pricing and trading volume in heterogeneous agent models with incomplete markets
Theler, Jean-Paul - 1994
Persistent link: https://www.econbiz.de/10000895343
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Evaluating the effects of incomplete markets on risk sharing and asset pricing
Heaton, John; Lucas, Deborah J. - 1993
Persistent link: https://www.econbiz.de/10000855305
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Option valuation in the presence of market imperfections
Bell, Andreas - 1993
Persistent link: https://www.econbiz.de/10000857533
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Structure of general equilibrium models with incomplete markets and a single consumption good
Hens, Thorsten - 1991
Persistent link: https://www.econbiz.de/10000834116