SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Towards a self-consistent theory of volatility
14 references·3 citing·29 second hop
Towards a self-consistent theory of volatility (2006)Towards a self-consistent theory of volat…Large investor trading impacts on volatility (2006)Large investor trading impact…Theory of rational option pricing (2005)Theory of rational option pri…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Asymmetric information and imperfect competition in a continuous time multivariate security model (2004)Asymmetric information and im…A market-induced mechanism for stock pinning (2003)A market-induced mechanism fo…Imperfect Competition among Informed Traders (2000)Imperfect Competition among I…Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999)Bounds on prices of contingen…Mathematical Models in Finance. (1996)Mathematical Models in Financ…Stock price fluctuation as a diffusion in a random environment (1994)Stock price fluctuation as a …Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Mean field games (2007)Mean field gamesJeux à champ moyen. II – Horizon fini et contrôle optimal (2006)Jeux à champ moyen. II – Hori…Jeux à champ moyen. I – Le cas stationnaire (2006)Jeux à champ moyen. I – Le ca…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Markets with a Continuum of Traders (1964)Nash Equilibria of Games with a Continuum of Players (2006)Mean Field Games and Applications (2010)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Arbitrage Theory in Continuous Time (1998)Partial Differential Equations (2010)Probabilistic Analysis of Mean-Field Games (2013)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Asset Pricing under Asymmetric Information (2001)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,176 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,058 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 2000Imperfect Competition among Informed Traders329 cited
  • 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences126 cited
  • 2003A market-induced mechanism for stock pinning78 cited
  • 2006Large investor trading impacts on volatility48 cited
  • 1994Stock price fluctuation as a diffusion in a random environment38 cited
  • 1996Mathematical Models in Finance.37 cited
  • 2004Asymmetric information and imperfect competition in a continuous time multivariate security model23 cited

Cited by

  • 2007Mean field games2,638 cited
  • 2006

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Jeux à champ moyen. I – Le cas stationnaire
965 cited
  • 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal810 cited