Narrow search
Showing 1 - 10 of 1,559
Cover Image
Liquidity constraints in production-based asset-pricing models
Brock, William A. - In: Asymmetric information, corporate finance, and investment, (pp. 231-255). 1990
Persistent link: https://www.econbiz.de/10001276526
Cover Image
A decision support system for the evaluation of bond options in imperfects markets
Daenen, Benoît - In: Financial modelling : recent research ; [selection of …, (pp. 220-237). 1994
Persistent link: https://www.econbiz.de/10001285724
Cover Image
Pricing in slack markets
Chateauneuf, Alain - In: Calcul économique et politique économique en …, (pp. 146-181). 1992
Persistent link: https://www.econbiz.de/10001288570
Cover Image
Arbitrage pricing under transaction costs : continuous time
Denis, Emmanuel - In: Recent advances in financial engineering : proceedings …, (pp. 91-106). 2009
Persistent link: https://www.econbiz.de/10003871165
Cover Image
Option replication cost with transaction costs
Kusuoka, Shigeo - In: Nonlinear and convex analysis in economic theory : …, (pp. 197-202). 1995
Persistent link: https://www.econbiz.de/10001315721
Cover Image
Asset pricing, trading costs, and the cross-section of stock returns
Bank, Matthias - In: Information, interaction and (in)efficiency in …, (pp. 156-169). 2008
Persistent link: https://www.econbiz.de/10003741142
Cover Image
Volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008
Persistent link: https://www.econbiz.de/10003567122
Cover Image
Option pricing : real and risk-neutral distributions
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: Financial engineering, (pp. 565-591). 2008
Persistent link: https://www.econbiz.de/10003567751
Cover Image
Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...
Persistent link: https://www.econbiz.de/10011903311
Cover Image
Market structure and transaction costs of index CDSs
Junge, Benjamin; Collin-Dufresne, Pierre; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 35-68, 125-167). 2016
Transaktionskosten in den zwei Segmenten des amerikanischen Index CDS Marktes, in denen Kreditderivate-Händler mit ihren institutionellen …
Persistent link: https://www.econbiz.de/10011903312