Christoph Mainberger

Humboldt Universitaet zu Berlin, Department of Mathematics

PhD Student

Under den Linden 6

Berlin, 10099

Germany

http://www.math.hu-berlin.de/~mainberg

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Scholarly Papers (1)

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Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Number of pages: 25 Posted: 10 Jan 2012 Last Revised: 22 Oct 2012
Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
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Abstract:

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Continuous-time equilibrium, exponential utility, CAPM, affine processes, information-based asset pricing, implied volatility