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Market clearing, utility functions, and securities prices
16 references·0 citing·42 second hop
Market clearing, utility functions, and securities prices (2004)Market clearing, utility functions, and s…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Theory of Incomplete Markets, Volume 1 (2002)Theory of Incomplete Markets,…Theory of incomplete markets (1996)Theory of incomplete marketsStock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model (1995)Stock Price Returns and the J…Continuous-time security pricing (1994)Continuous-time security pric…Optimal Consumption and Portfolio Rules with Durability and Local Substitution (1993)Optimal Consumption and Portf…On Equilibrium Asset Price Processes (1993)On Equilibrium Asset Price Pr…Continuous-Time Finance. (1991)Continuous-Time Finance.Asset pricing for general processes (1991)Asset pricing for general pro…A Nonstandard Approach to Option Pricing (1991)A Nonstandard Approach to Opt…Equilibrium in incomplete markets: II (1986)Equilibrium in incomplete mar…Equilibrium in incomplete markets: I (1985)Equilibrium in incomplete mar…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets (1972)Existence of Equilibrium of P…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)A two-person dynamic equilibrium under ambiguity (2003)Stochastic Integration and Differential Equations (2005)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)On the optimality of equilibrium when the market structure is incomplete (1975)The Structure of Financial Equilibrium with Exogenous Yields: The Case of Incomplete Markets (1989)An introduction to general equilibrium with incomplete asset markets (1990)Liquidity Constrained Markets Versus Debt Constrained Markets (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseOptimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Actuarial bridges to dynamic hedging and option pricing (1996)DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)Brownian Motion and Stochastic Calculus (2007)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Theory of Value (1959)Money and Growth: The Case of Long Run Perfect Foresight (1974)Behavioral Capital Asset Pricing Theory (1994)Understanding the employment relation: the analysis of idiosyncratic exchange (2009)Financial Super-Markets: Size Matters for Asset Trade (2001)Corporate Social Responsibility and Long-term Compensation: Evidence from Canada (2005)Pecuniary Externalities in Economies with Financial Frictions (2017)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1972Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets722 cited
  • 1996Theory of incomplete markets584 cited
  • 1985Equilibrium in incomplete markets: I273 cited
  • 1994Continuous-time security pricing241 cited
  • 1991Asset pricing for general processes203 cited
  • 1993On Equilibrium Asset Price Processes153 cited
  • 1995Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model112 cited
  • 1986Equilibrium in incomplete markets: II109 cited
  • 2002Theory of Incomplete Markets, Volume 1100 cited
  • 1993Optimal Consumption and Portfolio Rules with Durability and Local Substitution99 cited
  • 1991A Nonstandard Approach to Option Pricing97 cited

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