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On the quasi-sure superhedging duality with frictions
Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275
Persistent link: https://www.econbiz.de/10012253347
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Log-optimal and rapid paths in von Neumann-Gale dynamical systems
Babaei, E.; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - 2019
Persistent link: https://www.econbiz.de/10011978960
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Asset pricing and hedging in financial markets with fixed and proportional transaction costs
Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10014566422
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Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
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The liquidity premium in CDS transaction prices : do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - 2015 - [This version]: August 2015
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …
Persistent link: https://www.econbiz.de/10011308604
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The liquidity premium in CDS transaction prices : do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - In: Journal of banking & finance 61 (2015), pp. 184-205
Persistent link: https://www.econbiz.de/10011545180
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Chapter 19. Housing and Macroeconomics
Piazzesi, M.; Schneider, M. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1547-1640). 2016
This chapter surveys the literature on housing in macroeconomics. We first collect facts on house prices and quantities in both the time series and the cross section of households and housing markets. We then present a theoretical model of frictional housing markets with heterogeneous agents...
Persistent link: https://www.econbiz.de/10014024264
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
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Estimating unknown arbitrage costs : evidence from a three-regime threshold vector error correction model
Ters, Kristyna; Urban, Jörg - 2018
Persistent link: https://www.econbiz.de/10011865846
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542