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Incremental risk vulnerability
Franke, Günter (contributor);  … - 2005
We present a necessary and sufficient condition on an agent's utility function for a simple mean preserving spread in an independent background risk to increase the agent's risk aversion (incremental risk vulnerability). Gollier and Pratt (1996) have shown that declining and convex risk aversion...
Persistent link: https://www.econbiz.de/10003222126
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Pricing and hedging interest rate options : evidence from cap-floor markets
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of banking & finance 29 (2005) 3, pp. 701-733
Persistent link: https://www.econbiz.de/10002516999
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Finance research - the next 10 years
Stapleton, Richard C. - In: New challenges for management research, (pp. 45-54). 1985
Persistent link: https://www.econbiz.de/10001306084
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Special issue on insurance and financial risk management
Loubergé, Henri (contributor);  … - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 5-141
Persistent link: https://www.econbiz.de/10001210083
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Credit risk and credit derivatives : special issue
Brenner, Menachem (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10001497906
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When does strategic debt service matter?
Acharya, Viral V.; Huang, Jing-Zhi; Subrahmanyam, Marti G. - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700356
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When does strategic debt service matter?
Acharya, Viral V.; Huang, Jing-Zhi; Subrahmanyam, Marti G. - 2002
Persistent link: https://www.econbiz.de/10001710110
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A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
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Background risk and the demand for state-contingent claims
Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Economic theory : official journal of the Society for … 23 (2004) 2, pp. 321-335
Persistent link: https://www.econbiz.de/10001871174
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The valuation of American barrier options using the decomposition technique
Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827
Persistent link: https://www.econbiz.de/10001508774