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Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes
14 references·3 citing·45 second hopsampled
Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes (2001)Change of numéraire for affine arbitrage …Expected utility theory without the completeness axiom (2003)Expected utility theory witho…A Subjective Spin on Roulette Wheels (2003)A Subjective Spin on Roulette…Probabilistic Sophistication and Multiple Priors (2002)Probabilistic Sophistication …Pricing Interest Rate Derivatives: A General Approach (2002)Pricing Interest Rate Derivat…Risk, Ambiguity, and the Separation of Utility and Beliefs (2001)Risk, Ambiguity, and the Sepa…On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type (2001)On Fragility of Bubbles in Eq…Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …Bond Market Structure in the Presence of Marked Point Processes (1997)Bond Market Structure in the …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Simple Approach to Three-Factor Affine Term Structure Models (1996)A Simple Approach to Three-Fa…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…General Solutions of Some Interest Rate-Contingent Claim Pricing Equations (1991)General Solutions of Some Int…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…A folk theorem for minority games (2004)A folk theorem for minority g…Zonoids, linear dependence, and size-biased distributions on the simplex (2003)Zonoids, linear dependence, a…Multivariate Option Pricing with Copulas (2001)Multivariate Option Pricing w…Additive Representations of Preferences (1989)Maxmin expected utility with non-unique prior (1989)Rational choice with status quo bias (2004)Objective and Subjective Rationality in a Multiple Prior Model (2010)Decision-making with belief functions: A review (2019)Theory of games and economic behavior (2019)Pricing Interest-Rate-Derivative Securities (1990)Common Factors Affecting Bond Returns (1991)An Econometric Model of the Yield Curve with Macroeconomic Jump Effects (2001)Identification of Maximal Affine Term Structure Models (2008)Yield Curve Predictors of Foreign Exchange Returns (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing by transform methods: extensions, unification and error control (2004)Affine processes for dynamic mortality and actuarial valuations (2005)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)Risk, Ambiguity, and the Savage Axioms (1961)Risk Aversion in the Small and in the Large (1964)Advances in prospect theory: Cumulative representation of uncertainty (1992)Climate Economics: A Meta-Review and Some Suggestions for Future Research (2008)Dynamic choice under ambiguity (2011)Towards a general theory of bond markets (1997)Interest Rate Dynamics and Consistent Forward Rate Curves (1999)The Term Structure of Simple Forward Rates with Jump Risk (2003)Stochastic Integration and Differential Equations (2005)Theory of Rational Option Pricing (1973)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A theory of anticipated utility (1982)Subjective Probability and Expected Utility without Additivity (1989)Optimal investment strategies and risk measures in defined contribution pension schemes (2002)Uncertainty and Risk in Financial Markets (2004)Vector Expected Utility and Attitudes Toward Variation (2009)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
  • 1997Bond Market Structure in the Presence of Marked Point Processes385 cited
  • 2003Expected utility theory without the completeness axiom355 cited
  • 2001Risk, Ambiguity, and the Separation of Utility and Beliefs195 cited
  • 2003A Subjective Spin on Roulette Wheels179 cited
  • 1996A Simple Approach to Three-Factor Affine Term Structure Models154 cited
  • 2002Pricing Interest Rate Derivatives: A General Approach152 cited
  • 2002Probabilistic Sophistication and Multiple Priors144 cited
  • 1991General Solutions of Some Interest Rate-Contingent Claim Pricing Equations136 cited
  • 2001On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type101 cited

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  • 2004A folk theorem for minority games31 cited

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  • 2001Multivariate Option Pricing with Copulas22 cited
  • 2003Zonoids, linear dependence, and size-biased distributions on the simplex19 cited