Andrew Lyasoff

Boston University - Questrom School of Business

Director, Graduate Program in Mathematical Finance

595 Commonwealth Avenue

Boston, MA MA 02215

United States

SCHOLARLY PAPERS

3

DOWNLOADS

539

CITATIONS
Rank 22,994

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Top 22,994

in Total Papers Citations

12

Scholarly Papers (3)

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Swiss Finance Institute Research Paper No. 08-49
Number of pages: 43 Posted: 13 Jan 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 153 (158,956)
Citation 12

Abstract:

incomplete market, financial-market equilibrium, computation, recursive methods

Incomplete-Market Equilibria Solved Recursively on an Event Tree

INSEAD Working Paper No. 2011/76/FIN
Number of pages: 79 Posted: 01 Jul 2011 Last Revised: 24 Apr 2012
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 92 (234,510)
Citation 12

Abstract:

Incomplete-Market Equilibria Solved Recursively on an Event Tree

NBER Working Paper No. w14629
Number of pages: 41 Posted: 15 Jan 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 17 (473,902)
Citation 12

Abstract:

Incomplete-Market Equilibria Solved Recursively on an Event Tree

CEPR Discussion Paper No. DP7138
Number of pages: 42 Posted: 18 Feb 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 1 (568,437)
Citation 12

Abstract:

computation, financial-market equilibrium, incomplete market, recursive methods

The Two Fundamental Theorems of Asset Pricing for a Class of Continuous Time Financial Markets

Number of pages: 17 Posted: 31 May 2012 Last Revised: 30 Jan 2014
Andrew Lyasoff
Boston University - Questrom School of Business
Downloads 180 (137,581)

Abstract:

Arbitrage and completeness of financial markets, the first and the second fundamental theorems of asset pricing, Ito-processes, predictable representation of local martingales, extremal martingale measures

The Two Fundamental Theorems of Asset Pricing for a Class of Continuous‐Time Financial Markets

Mathematical Finance, Vol. 24, Issue 3, pp. 485-504, 2014
Number of pages: 20 Posted: 11 Jun 2014
Andrew Lyasoff
Boston University - Questrom School of Business
Downloads 0

Abstract:

arbitrage and completeness of financial markets, the first and the second fundamental theorems of asset pricing, Itô processes, predictable representation of local martingales, extremal martingale measures

3.

Seeking q: The Marginal Efficiency of Liquidity and Its Effect on Investment Financing and Valuation

Number of pages: 66 Posted: 04 Jan 2014 Last Revised: 23 May 2016
Thomas E. Copeland and Andrew Lyasoff
University of San Diego - School of Business Administration and Boston University - Questrom School of Business
Downloads 63 (226,379)

Abstract:

Corporate Finance, Corporate Investment, Capital Structure, Real Options