An Intertemporal General Equilibrium Model of Asset Prices
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asset pricingcapital growtheconomic interpretationsequationsfinancial economicsGirsanov transformationsHamilton-Jacobi-Bellman equationsItō's change of variablesmartingalesportfolio theorystochastic differential
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) General equilibrium theory (91B50) Economic growth models (91B62) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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(only showing first 100 items - show all)- Analysis of quadrature methods for pricing discrete barrier options
- A dynamic programming approach for pricing options embedded in bonds
- Development of computational algorithms for evaluating option prices associated with square-root volatility processes
- Stochastic equilibrium discounting
- Option pricing methods: an overview
- Closing the GARCH gap: Continuous time GARCH modeling
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Bond options and bond portfolio insurance
- Application of statistical mechanics methodology to term-structure bond- pricing models
- Optimal consumption and portfolio rules with intertemporally dependent utility of consumption
- Equilibrium asset prices with undiversifiable labor income risk
- A comparative evaluation of alternative models of the term structure of interest rates
- On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
- Valuing flexibility: An impulse control framework
- A term structure of interest rates in a model with heterogeneous agents
- Continuous-time security pricing. A utility gradient approach
- Dynamic spanning without probabilities
- A survey of stochastic continuous time models of the term structure of interest rates
- Labor income, borrowing constraints, and equilibrium asset prices
- Equilibrium asset prices and exchange rates
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
- Asset and commodity prices with multi-attribute durable goods
- Heterogeneous information arrival and option pricing
- Asset allocation with time variation in expected returns
- IBNR reserves under stochastic interest rates
- Optimal consumption and portfolio choice with borrowing constraints
- Pension funding incorporating downside risks.
- Interest rate swaps under CIR.
- Risk sensitive asset allocation
- Market entry, phased rollout or abandonment? A real option approach
- A comparative study of portfolio insurance.
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
- Equilibrium variance risk premium in a cost-free production economy
- Conditional Lie-Bäcklund symmetry reductions and exact solutions of a class of reaction-diffusion equations
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Predicting the yield curve using forecast combinations
- A resolution of the equity premium puzzle
- An uncertain currency model with floating interest rates
- On the distribution of extended CIR model
- Mild solutions to the dynamic programming equation for stochastic optimal control problems
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- The integrability problem of asset prices
- Optimal trading strategy for an investor: the case of partial information
- Parameter estimation in stochastic scenario generation systems
- Time horizon and the discount rate.
- Timing of investments in oligopoly under uncertainty: a framework for numerical analysis
- Utility maximization with partial information
- Uncertain term structure model of interest rate
- A martingale characterization of equilibrium asset price processes
- American options with stochastic dividends and volatility: a nonparametric investigation
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- Option pricing under the subordinated market models
- Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- An interest-rate model with jumps for uncertain financial markets
- Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
- Mean reversion in stochastic mortality: why and how?
- Dynamically complete markets under Brownian motion
- Equilibrium approach of asset pricing under Lévy process
- The marginal value of management using stochastic control
- Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model
- From volatility smiles to the volatility of volatility
- Surplus participation schemes for life annuities under Solvency II
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Fractional Cox-Ingersoll-Ross process with small Hurst indices
- The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
- On the forward rate concept in multi-state life insurance
- Monetary transaction costs and the term premium
- Indirect estimation of stochastic differential equation models: some computational experiments
- Precautionary saving in the presence of other risks
- Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
- An extension of Heston's SV model to stochastic interest rates
- Estimation for incomplete information stochastic systems from discrete observations
- Model misspecification analysis for bond options and Markovian hedging strategies
- Multifrequency jump-diffusions: An equilibrium approach
- Real R\&D options with time-to-learn and learning-by-doing
- Interest rate options valuation under incomplete information
- Incomplete information equilibria: separation theorems and other myths
- Saddlepoint approximations to option price in a general equilibrium model
- Super optimal rates for nonparametric density estimation via projection estimators
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
- Estimation and evaluation of the term structure of credit default swaps: An empirical study
- Construction of a state space for interrelated securities with an application to temporary equilibrium theory
- Structural estimation of jump-diffusion processes in macroeconomics
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Group classification of a class of equations arising in financial mathematics
- ARCH models as diffusion approximations
- Intertemporal asset allocation when the underlying factors are unobservable
- A class of asset pricing models governed by subordinate processes that signal economic shocks
- Diffusion copulas: identification and estimation
- Gain/loss asymmetric stochastic differential utility
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- A model of the euro-area yield curve with discrete policy rates
- General equilibrium asset pricing under regime switching
- Group classification of a generalization of the Heath equation
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
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