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On securitization, market completion and equilibrium risk transfer
16 references·2 citing·34 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 1992Equilibrium in a Reinsurance Market562 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 1995Financial Innovation and Risk Sharing.390 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES

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  • 2012Quadratic Semimartingale BSDEs Under an Exponential Moments Condition26 cited
  • 2015PAYROLL TAXES, SOCIAL INSURANCE, AND BUSINESS CYCLES18 cited