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~person:"Herzberg, Frederik"
~source:"repec"
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Continuous-time financial market
2
Itô diffusion
2
Potentially complete market
2
Radner equilibrium
2
Analytic transition density
1
Continuous-time financial markets
1
Derivative pricing
1
Financial equilibrium
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Lévy process
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Nonstandard analysis
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Representative-agent models
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Herzberg, Frederik
Posch, Olaf
15
Andersen, Torben G.
11
Scalas, Enrico
11
Wälde, Klaus
11
Bollerslev, Tim
10
Trimborn, Timo
8
Diebold, Francis X.
7
Friedman, Daniel
7
McAleer, Michael
7
Oprea, Ryan
7
Guo, Xianping
6
Hernández-Lerma, Onésimo
6
Prieto-Rumeau, Tomás
6
Augeraud-Véron, Emmanuelle
5
Federici, Daniela
5
Gandolfo, Giancarlo
5
Gao, Jiti
5
Hong, Yongmiao
5
Horsley, Anthony
5
Riedel, Frank
5
Casas, Isabel
4
D'Albis, Hippolyte
4
Flaschel, Peter
4
Folmer, Henk
4
Guerrazzi, Marco
4
Harvey, Charles M.
4
Hess, Wolfgang
4
Ishida, Isao
4
Kleinow, Torsten
4
Maggi, Bernardo
4
Mainardi, Francesco
4
Nijkamp, Peter
4
Oya, Kosuke
4
Patuelli, Roberto
4
Persson, Maria
4
Raberto, Marco
4
Yu, Jun
4
Østerdal, Lars Peter
4
Alòs, Elisa
3
Bayer, Christian
3
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
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Annals of Finance
1
Journal of Mathematical Economics
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Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
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EconStor
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1
Existence of Financial Equilibria in
Continuous
Time
with Potentially Complete Markets
Riedel, Frank
;
Herzberg, Frederik
-
Institut für Mathematische Wirtschaftsforschung, …
-
2013
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10008764998
Saved in:
2
First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 543-572
For a
continuous-time
financial market with a single agent, we establish equilibrium pricing formulae under the …
Persistent link: https://www.econbiz.de/10010866549
Saved in:
3
Existence of financial equilibria in
continuous
time
with potentially complete markets
Riedel, Frank
;
Herzberg, Frederik
- In:
Journal of Mathematical Economics
49
(
2013
)
5
,
pp. 398-404
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10010875283
Saved in:
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