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First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik - In: Annals of finance 9 (2013) 3, pp. 543-572
Persistent link: https://www.econbiz.de/10009776388
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Determination of the Lévy exponent in asset pricing models
Bouzianis, George; Hughston, Lane P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
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Realativity in finance : goals and risk-based asset pricing for investors with multiple stochastic goals and agents
Muralidhar, Arun S. - In: Journal of investment management : JOIM 21 (2023) 4, pp. 53-81
Persistent link: https://www.econbiz.de/10014475371
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Financial equilibrium with asymmetric information and random horizon
Çetin, Umut - In: Finance and stochastics 22 (2018) 1, pp. 97-126
Persistent link: https://www.econbiz.de/10011945630
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Continuity of marketable payoffs with re-trading
Bonnisseau, Jean-Marc; Chéry, Achis - In: Economic theory 75 (2023) 1, pp. 31-53
Persistent link: https://www.econbiz.de/10013488820
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Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.; Siu, Tak Kuen - In: Asia-Pacific financial markets 22 (2015) 2, pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
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A jump model for fads in asset prices under asymmetric information
Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European journal of operational research : EJOR 236 (2014) 1, pp. 200-208
Persistent link: https://www.econbiz.de/10010361742
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New formulations of ambiguous volatility with an application to optimal dynamic contracting
Hansen, Peter G. - In: Journal of economic theory 199 (2022), pp. 1-31
Persistent link: https://www.econbiz.de/10013193348
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An alternative nonparametric tail risk measure
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
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Computational methods for production-based asset pricing models with recursive utility
Aldrich, Eric Mark; Kung, Howard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012437836