15 research outputs found
Pricing European Options in Markets With Transaction Costs
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2015
- Field of study
Asset Selection and Under-Diversification with Financial Constraints and Income: Implications for Household Portfolio Studies
- Author
- Alok Kumar
- Christopher D Carroll
- Chunyu Yang
- Cristopher C Geczy
- Darrell Duffie
- David Cass
- Domenico Cuoco
- Domenico Cuoco
- Domenico Cuoco
- El Karoui
- Felix Kubler
- Fischer Black
- Fisher Black
- George M Constantinides
- Hervé Roche
- Hong Liu
- Hua He
- Hua He
- Hua He
- Jak? Cvitani�ccvitani�c
- Jak? Cvitani�ccvitani�c
- Jerome Detemple
- John C Cox
- Jonathan E Ingersoll
- Karatzas
- Karatzas
- Kenneth R French
- Laurent E Calvet
- Lorenzo Garlappi
- Michael Brandt
- Michael Gallmeyer
- Morgan Kelly
- Peter Fortune
- Peter M Demarzo
- Robert Merton
- Stathis Tompaidis
- Suleyman Basak
- Todd Mitton
- William N Goetzmann
- Zoran Ivkovi�civkovi�c
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2010
- Field of study
Predictors and Portfolios Over the Life Cycle
- Author
- Alberto Plazzi
- Andrew Ang
- Anthony W Lynch
- Bach
- Bj�rn Bick
- C Himmelberg
- Claus Munk
- Claus Munk
- Corradin
- De Nardi
- Eric Ghysels
- Eugene F Fama
- Eugene F Fama
- Farina Weiss
- Fatih Guvenen
- Hanno Lustig
- Holger Kraft
- Holger Kraft
- I Karatzas
- Jacob Boudoukh
- Jak? Cvitani�ccvitani�c
- Jak?a Cvitani�ccvitani�c
- James M Poterba
- Joao F Cocco
- Joao F Cocco
- John Y Campbell
- John Y Campbell
- John Y Campbell
- Karl E Case
- Karl E Case
- Marcel Fischer
- Marjorie Flavin
- Michael D Hurd
- Morris A Davis
- Nicholas Barberis
- Ralph S J Koijen
- S Brown
- Stephen Malpezzi
- Steven C Bourassa
- Tobias Moskowitz
- Tong Kim
- Van Hemert
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Default Clustering in Large Portfolios: Typical Events
- Author
- A Donald
- Amir Dembo
- Daniel Revuz
- Darrell Duffie
- Griselda Deelstra
- Halsey Royden
- Ioannis Karatzas
- Jak?a Cvitani�ccvitani�c
- Kay Giesecke
- Kay Giesecke
- Konstantinos Spiliopoulos
- Mark Davis
- N Stewart
- Nick Bush
- Nobuyuki Ikeda
- Paolo Dai Pra
- Paolo Dai Pra
- Paul Glasserman
- Richard Sowers
- Ronnie Sircar
- Sanjiv Das
- Shahriar Azizpour
- Wendell H Fleming
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
Investment Horizons and Asset Prices Under Asymmetric Information
- Author
- Andrew Abel
- Ben-David
- De Long
- Dimitri Vayanos
- Efstathios Avdis
- Elias Albagli
- Elias Albagli
- Giovanni Cespa
- Hua He
- Jak? Cvitani�ccvitani�c
- James Poterba
- Jeremy Siegel
- Jiang Wang
- John Campbell
- John Campbell
- Joseph Chen
- Kenneth Froot
- Mark Carhart
- Masahiro Watanabe
- Matthew Spiegel
- Mohammad Ahsanullah
- Nicholas Barberis
- Paul Samuelson
- Peter Kondor
- Philippe Bacchetta
- Robert Merton
- Snehal Banerjee
- Snehal Banerjee
- Tong Kim
- Weiyang Qiu
- Xavier Vives
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
Large Portfolio Asymptotics for Loss from Default
- Author
- Alexander &
- Amir Dembo
- Andre Lucas
- Dai Pra
- Dai Pra
- Dang Ang
- Darrell Duffie
- Halsey Royden
- Jak?a Cvitani�ccvitani�c
- Justin Sirignano
- Kay &
- Kay &
- Kay &
- Kay Giesecke
- Kay Giesecke
- Konstantinos Spiliopoulos
- Kyeong-Hun Kim
- Kyeong-Hun Kim
- Lutz &
- Mark &
- Michael B Gordy
- Nan Chen
- Nick Bush
- Nicolai &
- Oldrich Vasicek
- Paul Glasserman
- Richard Sowers
- Ronnie &
- Sanjiv Das
- Sergey Lototsky
- Shahriar Azizpour
- Stewart N Ethier
- Walter G Vincenti
- William Feller
- Xiaowei Zhang
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
- Author
- Andrew J Morton
- Andrew Lo
- B Oksendal
- Bernard Dumas
- Bernard Dumas
- Bernard Dumas
- Burton Hollifield
- C Atkinson
- Christopher F Baum
- Darrell Duffie
- Dimitri Vayanos
- Domenico Cuoco
- Gautam Goswami
- George M Constantinides
- Hong Liu
- Hong Liu
- J Eastham
- Jak?a Cvitani�ccvitani�c
- James R Lothian
- Kenneth Froot
- Kenneth Rogoff
- Liuren Wu
- M H A Davis
- Mark P Taylor
- Mark Schroder
- Mark Schroder
- Maurice Obstfeld
- Milind M. Shrikhande
- Nicholas Sarantis
- Panos Michael
- Paul R Krugman
- Ralf Korn
- Raman Uppal
- Robert C Merton
- Rudiger Dornbusch
- S E Shreve
- Sanford J Grossman
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2002
- Field of study
Discrete-Time Option Pricing with Stochastic Liquidity
- Author
- Dieter Denneberg
- Dilip B Madan
- Dilip B Madan
- Dion Bongaerts
- El Karoui
- Erdin� Aky?ld?r?m
- Frank Riedel
- Guy Barles
- Halil M Soner
- Hans F�llmer
- Hans-Martin Gutmann
- Hansjoerg Albrecher
- Jak?a Cvitani�ccvitani�c
- Jose Corcuera
- Juliane Mueller
- Karl F Bann�r
- Lasse Pedersen
- Madan
- Mark Davis
- Markus Leippold
- Philippe Artzner
- Rainer Baule
- Robert Engle
- Rosazza Gianin
- Sara Biagini
- Shaun S Wang
- Shige Peng
- Shih-Ping Feng
- Steven E Shreve
- Steven Schaerer
- Stewart N Ethier
- Thomas J George
- Tomasz R Bielecki
- Tomasz R Bielecki
- W
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Collateralized Borrowing And Life-Cycle Portfolio Choice
- Author
- Andrei Shleifer
- Angus Deaton
- Annette Vissing-J�rgensen
- Domenico Cuoco
- Erzo G J Luttmer
- Felix E. Kubler
- Felix Kubler
- Francisco Gomes
- George M Constantinides
- George Tauchen
- Hanno Lustig
- Hua He
- Hua He
- Hua He
- J Cocco
- J Cocco
- Jak?a Cvitani�ccvitani�c
- James M Poterba
- Jean-Luc Vila
- John Cochrane
- John Cox
- John Geanakoplos
- John Geanakoplos
- John Heaton
- John Heaton
- John Hull
- John Y Campbell
- John Y Campbell
- J�r�me Detemple
- Lucie Tepla
- Michael Brandt
- Ming Huang
- Nicole El-Karoui
- Paul A Samuelson
- Paul Willen
- Peter Fortune
- Peter Fortune
- Pierre-Olivier Gourinchas
- R Yao
- Robert C Merton
- Robert C Merton
- Sanford Grossman
- Steven J Davis
- Xavier Gabaix
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2006
- Field of study
Optimal Fund Menus
- Author
- Ajay Khorana
- Alexander Shapiro
- Anat Admati
- Anthony Lynch
- Bruce Carlin
- Casey Rothschild
- David Brown
- David Luenberger
- Domenico Cuoco
- Harry Mamaysky
- Hui Ou-Yang
- Jak?a Cvitani�ccvitani�c
- Jaksa Cvitanic
- James Mirrlees
- Jean-
- Jean-Charles Rochet
- Jean-Charles Rochet
- Jean-Jacques Laffont
- Jennifer Carpenter
- Jonathan B Berk
- Jonathan Berk
- Jonathan Berk
- Julien Hugonnier
- Julien Hugonnier
- Lars Stole
- Lubos Pastor
- M � Max
- Mark Armstrong
- Martijn Cremers
- Martijn Cremers
- Martin Gruber
- Massimo Massa
- Michael Hirsch
- Michael Mussa
- Michael Spence
- Mich�le Breton
- Mike Mesterton-Gibbons
- Morningstar
- Philip Dybvig
- Preston Mcafee
- Robert Wilson
- Sanjiv Das
- Sanjiv Das
- Sudipto Bhattacharya
- Suleyman Basak
- Suleyman Basak
- Thomas Dangl
- William Adams
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2018
- Field of study