Tenor specific pricing
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Publication:4649506
DOI10.1142/S0219024912500434zbMATH Open1262.91142OpenAlexW3124948743MaRDI QIDQ4649506FDOQ4649506
Authors: Dilip B. Madan, Wim Schoutens 
Publication date: 22 November 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500434
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Cites Work
- A theory of the term structure of interest rates
- Coherent measures of risk
- Risk measures via \(g\)-expectations
- Numerical Inversion of Laplace Transforms of Probability Distributions
- A multi-quality model of interest rates
- Title not available (Why is that?)
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Coherent risk measures and good-deal bounds
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
Cited In (11)
- CONIC TRADING IN A MARKOVIAN STEADY STATE
- From credit valuation adjustments to credit capital commitments
- Two price economies in continuous time
- Conic portfolio theory
- Benchmarking in two price financial markets
- Dynamic conic hedging for competitiveness
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
- Nonlinear equity valuation using conic finance and its regulatory implications
- Asset pricing theory for two price economies
- MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
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