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DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
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DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES (2013)DYNAMIC CONIC FINANCE: PRICING AND HEDGIN…New Measures for Performance Evaluation (2008)New Measures for Performance …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresPricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingBeyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Performance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Time consistency of dynamic risk measures in markets with transaction costs (2013)Time consistency of dynamic r…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)Mean-Variance Hedging for General Claims (1992)Arbitrage and duality in nondominated discrete-time models (2015)Hedging Inventory Risk Through Market Instruments (2005)Option pricing and Esscher transform under regime switching (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Asset Pricing in Economies with Frictions (1996)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)Arbitrage Theory in Continuous Time (1998)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2008New Measures for Performance Evaluation

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318 cited
  • 2001Pricing and hedging in incomplete markets300 cited
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    • 2013Time consistency of dynamic risk measures in markets with transaction costs36 cited