ETH Zurich - Department of Mathematics
in Total Papers Downloads
efficient markets, information sets, strong-form efficiency, semi-strong form efficiency, weak-form efficiency, martingale measures, local martingale measures, no arbitrage, no dominance, economic equilibrium
Swaps, Swaptions, Unspanned Factors, Zero Lower Bound
contagion, systemic risk, default risk, equilibrium
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: MAFI.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
default risk, systemic risk, equilibrium
Polynomial Diffusions, Polynomial Diffusion Models in Finance, Stochastic Invariance, Boundary Attainment, Moment Problem
Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions
systemic risk, price linkages, network stability, deleveraging
informational efficiency, short sales, no arbitrage, no dominance, equilibrium, representative agents, martingales measures, local martingales, supermartingales, local martingale deflators
File name: j-9965.
efficient markets, information sets, strong‐form efficiency, semi‐strong‐form efficiency, weak‐form efficiency, martingale measures, local martingale measures, no arbitrage, no dominance, economic equilibrium
polynomial jump-diffusions, affine jump-diffusions, exponentiation, subordination, asset pricing models, stochastic volatility
Multi-factor Cox-Ingersoll-Ross (CIR) Model, Unspanned Stochastic Volatility (USV)
Polynomial Process, Cubature Rule, Asymptotic Moments, Transition Rate Matrix, Transition Probabilities, Negative Probabilities
Linearity-Generating Process, Linear-Rational Model, Long-Term Risk, State Price Density
Representative agent; Aggregation; Radner equilibrium
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.472 seconds