Drift and the risk-free rate

DOI10.1155/2011/595741MaRDI QIDQ642444zbMATH OpenOpenAlexWikidataFDO

Authors Juan-Miguel Gracia

Publication date 26 October 2011

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/595741

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Recommendations

• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• Drift estimation of generalized security price processes from high frequency derivative prices
• Risk-neutral economy and zero price of risk

Cites work

• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and arbitrage in multiperiod securities markets

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