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Markets, Profits, Capital, Leverage and Return
16 references·4 citing·31 second hop
Markets, Profits, Capital, Leverage and Return (2010)Markets, Profits, Capital, Leverage and R…Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Variance Risk Premiums (2008)Variance Risk PremiumsNew Measures for Performance Evaluation (2008)New Measures for Performance …Existence of an equilibrium for a competitive economy (2008)Existence of an equilibrium f…Theory of rational option pricing (2005)Theory of rational option pri…On law invariant coherent risk measures (2001)On law invariant coherent ris…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingCoherent Measures of Risk (1999)Coherent Measures of RiskThe Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…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…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Existence of an Equilibrium for a Competitive Economy (1954)Existence of an Equilibrium f…Joint modeling of VIX and SPX options at a single and common maturity with risk management applications (2014)Joint modeling of VIX and SPX…Bid and ask prices as non-linear continuous time G-expectations based on distortions (2014)Bid and ask prices as non-lin…Two price economies in continuous time (2013)Two price economies in contin…TENOR SPECIFIC PRICING (2011)TENOR SPECIFIC PRICINGEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Foundations of Economic Analysis. (1948)Equilibrium points in n -person games (1950)A Social Equilibrium Existence Theorem* (1952)The Anatomy of Market Failure (1958)Towards an economic theory of the multiproduct firm (1982)Systemic risk in banking ecosystems (2011)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Option pricing: A simplified approach (1979)SOME LESSONS FROM THE EAST ASIAN MIRACLE (1996)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1954Existence of an Equilibrium for a Competitive Economy4,067 cited
  • 2008Existence of an equilibrium for a competitive economy3,041 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 2008New Measures for Performance Evaluation318 cited

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Cited by

  • 2014Bid and ask prices as non-linear continuous time G-expectations based on distortions31 cited
  • 2013Two price economies in continuous time28 cited
  • 2011TENOR SPECIFIC PRICING26 cited
  • 2014Joint modeling of VIX and SPX options at a single and common maturity with risk management applications25 cited