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A Discrete Time Benchmark Approach for Insurance and Finance
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A Discrete Time Benchmark Approach for Insurance and Finance (2003)A Discrete Time Benchmark Approach for In…A complete explicit solution to the log-optimal portfolio problem (2003)A complete explicit solution …Arbitrage in continuous complete markets (2002)Arbitrage in continuous compl…The numeraire portfolio for unbounded semimartingales (2001)The numeraire portfolio for u…A Minimal Financial Market Model (2001)A Minimal Financial Market Mo…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …On Esscher Transforms in Discrete Finance Models (1998)On Esscher Transforms in Disc…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates (1997)The Potential Approach to the…The numeraire portfolio: a new perspective on financial theory (1997)The numeraire portfolio: a ne…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …The numeraire portfolio (1990)The numeraire portfolioLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Limit Theorems for Stochastic Processes (1987)A BENCHMARK APPROACH TO FINANCE (2006)Variance-optimal hedging for processes with stationary independent increments (2006)Minimal Hellinger martingale measures of order q (2007)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An equilibrium characterization of the term structure (1977)Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets (2003)The numéraire portfolio in semimartingale financial models (2007)What Is the Expected Return on a Stock? (2019)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Martingales and arbitrage in multiperiod securities markets (1979)Term Structure Dynamics in Theory and Reality (2003)A Benchmark Approach to Quantitative Finance (2006)Affine Term Structure Models (2010)Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility (2002)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Asset Pricing under the Quadratic Class (2002)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited
  • 1998Mathematics of Derivative Securities337 cited
  • 1990The numeraire portfolio319 cited
  • 1997The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates278 cited
  • 2001The numeraire portfolio for unbounded semimartingales142 cited
  • 2003A complete explicit solution to the log-optimal portfolio problem129 cited
  • 2002Arbitrage in continuous complete markets126 cited
  • 1998On Esscher Transforms in Discrete Finance Models97 cited
  • 1997The numeraire portfolio: a new perspective on financial theory62 cited
  • 2001A Minimal Financial Market Model55 cited

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