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Realistic no arbitrage conditions

Sayit, Hasanjan - 2005

Persistent link: https://www.econbiz.de/10003906070

Market price of risk specifications for affine models : theory and evidence

Cheridito, Patrick; Filipović, Damir; Kimmel, Robert - In: Journal of financial economics 83 (2007) 1, pp. 123-170

Persistent link: https://www.econbiz.de/10003410381

The bond yield "conundrum" from a macro-finance perspective

Rudebusch, Glenn D. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003417803

No arbitrage conditions and liquidity

Astic, Fabian; Touzi, Nizar - In: Journal of mathematical economics 43 (2007) 6, pp. 692-708

Persistent link: https://www.econbiz.de/10003490462

No-arbitrage condition and existence of equilibrium with dividends

Le Van, Cuong; Ba Minh, Nguyen - In: Journal of mathematical economics 43 (2007) 2, pp. 135-152

Persistent link: https://www.econbiz.de/10003463109

General equilibrium : arbitrage and information

Kuksin, Nikita (contributor) - 2007

Persistent link: https://www.econbiz.de/10003464414

A counter-example to an option pricing formula under transaction costs

Roux, Alet; Zastawniak, Tomasz - In: Finance and stochastics 10 (2006) 4, pp. 575-578

Persistent link: https://www.econbiz.de/10003405651

The benefits and risks of virtual bidding in multi-settlement markets

Isemonger, Alan G. - In: The electricity journal 19 (2006) 9, pp. 26-36

Persistent link: https://www.econbiz.de/10003424825

A model of spatial arbitrage with transport capacity constraints and endogenous transport prices

Coleman, Andrew (contributor) - 2007

Persistent link: https://www.econbiz.de/10003430282

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456