Benchmarking in two price financial markets
From MaRDI portal
Publication:315468
DOI10.1007/s10436-016-0278-4zbMath1398.91279OpenAlexW2342767597MaRDI QIDQ315468
Publication date: 21 September 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0278-4
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Nonlinear equity valuation using conic finance and its regulatory implications, Financial equilibrium with non-linear valuations, Pricing options on mean reverting underliers, Lower and upper pricing of financial assets, MEASURING AND MONITORING THE EFFICIENCY OF MARKETS, CONIC TRADING IN A MARKOVIAN STEADY STATE, Affine processes under parameter uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
- Two price economies in continuous time
- The fundamental theorem of asset pricing under transaction costs
- Dynamic monetary risk measures for bounded discrete-time processes
- Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Markets with transaction costs. Mathematical theory.
- A general theory of finite state backward stochastic difference equations
- Time consistent dynamic risk processes
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Maxmin expected utility with non-unique prior
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A general version of the fundamental theorem of asset pricing
- Martingales and arbitage in securities markets with transaction costs
- Asset pricing theory for two price economies
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Dynamic coherent risk measures
- Theory of capacities
- Coherent Measures of Risk
- A New Fusion Procedure for the Brauer Algebra and Evaluation Homomorphisms
- CONIC TRADING IN A MARKOVIAN STEADY STATE
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
- Backward Stochastic Differential Equations in Finance
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- TENOR SPECIFIC PRICING
- The Dual Theory of Choice under Risk
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
