Measuring and monitoring the efficiency of markets
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Cites work
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- A general version of the fundamental theorem of asset pricing
- A two price theory of financial equilibrium with risk management implications
- Applied conic finance
- Asset pricing theory for two price economies
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Benchmarking in two price financial markets
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Bilateral gamma distributions and processes in financial mathematics
- Coherent measures of risk
- Convex risk measures and the dynamics of their penalty functions
- Dynamic coherent acceptability indices and their applications to finance
- Dynamic monetary risk measures for bounded discrete-time processes
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- Estimating parametric models of probability distributions
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Markets as a counterparty: an introduction to conic finance
- Systemic risk tradeoffs and option prices
- Tenor specific pricing
- The Variance Gamma Process and Option Pricing
- Time consistent dynamic risk processes
- Two price economies in continuous time
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Cited in
(33)- What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
- Two price economic equilibria and financial market bid/ask prices
- Implied price processes anchored in statistical realizations
- High dimensional Markovian trading of a single stock
- Quadratic variation, models, applications and lessons
- A novel integrated measure for energy market efficiency
- Correlated squared returns
- Zero covariation returns
- Nonlinear equity valuation using conic finance and its regulatory implications
- Lower and upper pricing of financial assets
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- The valuation of corporations: a derivative pricing perspective
- Equilibrium asset returns in financial markets
- Option surface statistics with applications
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
- MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
- Additive processes with bilateral gamma marginals
- Option implied VIX, skew and kurtosis term structures
- Filtering response directions
- Measuring dependence in a set of asset returns
- Exposure valuations and their capital requirements
- Option returns
- The economics of time as it is embedded in the prices of options§
- The bilateral Gamma motion: calibration and option pricing
- Financial finance
- On the real rate of interest in a closed economy
- Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
- Investor determined dividend policies
- Capital structure and risk acceptability
- Optimal spot slides
- Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities
- Attractive investment opportunities: the irrationality of being rational
- Risk conscious investment
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