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There are 27781 results for: content related to: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS *

  1. ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE

    Mathematical Finance

    Volume 18, Issue 1, January 2008, Pages: 23–54, Gianluca Cassese

    Version of Record online : 13 DEC 2007, DOI: 10.1111/j.1467-9965.2007.00321.x

  2. DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

    Mathematical Finance

    Volume 17, Issue 4, October 2007, Pages: 599–627, Susanne Klöppel and Martin Schweizer

    Version of Record online : 14 SEP 2007, DOI: 10.1111/j.1467-9965.2007.00317.x

  3. OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

    Mathematical Finance

    Volume 18, Issue 2, April 2008, Pages: 199–238, Mark Schroder and Costis Skiadas

    Version of Record online : 13 MAR 2008, DOI: 10.1111/j.1467-9965.2007.00330.x

  4. DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

    Mathematical Finance

    Volume 18, Issue 4, October 2008, Pages: 493–518, Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc and Marek Rutkowski

    Version of Record online : 19 SEP 2008, DOI: 10.1111/j.1467-9965.2008.00345.x

  5. TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

    Mathematical Finance

    Volume 18, Issue 1, January 2008, Pages: 77–114, Martin Schweizer and Johannes Wissel

    Version of Record online : 13 DEC 2007, DOI: 10.1111/j.1467-9965.2007.00323.x

  6. BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES

    Mathematical Finance

    Volume 18, Issue 3, July 2008, Pages: 427–443, Farshid Jamshidian

    Version of Record online : 28 JUN 2008, DOI: 10.1111/j.1467-9965.2008.00340.x

  7. PUT-CALL SYMMETRY: EXTENSIONS AND APPLICATIONS

    Mathematical Finance

    Volume 19, Issue 4, October 2009, Pages: 523–560, Peter Carr and Roger Lee

    Version of Record online : 20 OCT 2009, DOI: 10.1111/j.1467-9965.2009.00379.x

  8. MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

    Mathematical Finance

    Volume 19, Issue 3, July 2009, Pages: 423–455, Traian A. Pirvu and Gordan Žitković

    Version of Record online : 26 JUN 2009, DOI: 10.1111/j.1467-9965.2009.00378.x

  9. THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS

    Mathematical Finance

    Volume 17, Issue 4, October 2007, Pages: 503–539, Nina Boyarchenko and Sergei Levendorskiǐ

    Version of Record online : 14 SEP 2007, DOI: 10.1111/j.1467-9965.2007.00314.x

  10. POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE

    Mathematical Finance

    Volume 23, Issue 1, January 2013, Pages: 39–56, Robert Jarrow and Philip Protter

    Version of Record online : 15 JUN 2011, DOI: 10.1111/j.1467-9965.2011.00489.x

  11. SUPERHEDGING IN ILLIQUID MARKETS

    Mathematical Finance

    Volume 21, Issue 3, July 2011, Pages: 519–540, Teemu Pennanen

    Version of Record online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00437.x

  12. THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL

    Mathematical Finance

    Volume 23, Issue 2, April 2013, Pages: 275–296, Ole Eiler Barndorff-Nielsen and Robert Stelzer

    Version of Record online : 6 JUL 2011, DOI: 10.1111/j.1467-9965.2011.00494.x

  13. PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

    Mathematical Finance

    Volume 19, Issue 3, July 2009, Pages: 487–521, Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga

    Version of Record online : 26 JUN 2009, DOI: 10.1111/j.1467-9965.2009.00376.x

  14. HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 617–646, Wing Yan Yip, David Stephens and Sofia Olhede

    Version of Record online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00414.x

  15. HEDGING BY SEQUENTIAL REGRESSIONS REVISITED

    Mathematical Finance

    Volume 19, Issue 4, October 2009, Pages: 591–617, Aleš Černý and Jan Kallsen

    Version of Record online : 20 OCT 2009, DOI: 10.1111/j.1467-9965.2009.00381.x

  16. PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

    Mathematical Finance

    Volume 17, Issue 2, April 2007, Pages: 205–224, Nicole Bäuerle and Ulrich Rieder

    Version of Record online : 20 MAR 2007, DOI: 10.1111/j.1467-9965.2006.00300.x

  17. BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

    Mathematical Finance

    Volume 18, Issue 3, July 2008, Pages: 385–426, Hanqing Jin and Xun Yu Zhou

    Version of Record online : 28 JUN 2008, DOI: 10.1111/j.1467-9965.2008.00339.x

    Corrected by:

    ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME”

    Vol. 20, Issue 3, 521–525, Version of Record online: 7 JUN 2010

  18. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

    Mathematical Finance

    Volume 17, Issue 3, July 2007, Pages: 449–476, Aharon Ben-Tal and Marc Teboulle

    Version of Record online : 27 JUN 2007, DOI: 10.1111/j.1467-9965.2007.00311.x

  19. ON THE TIMING OPTION IN A FUTURES CONTRACT

    Mathematical Finance

    Volume 17, Issue 2, April 2007, Pages: 267–283, Francesca Biagini and Tomas Björk

    Version of Record online : 20 MAR 2007, DOI: 10.1111/j.1467-9965.2006.00303.x

  20. MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS

    Mathematical Finance

    Volume 20, Issue 1, January 2010, Pages: 1–33, Paul Glasserman and Kyoung-Kuk Kim

    Version of Record online : 15 JAN 2010, DOI: 10.1111/j.1467-9965.2009.00387.x