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  • 1
    Electronic Resource
    Electronic Resource
    The Second Fundamental Theorem of Asset Pricing (1999)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc
    Mathematical finance 9 (1999), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper presents a resolution of the paradox proposed by the example of an economy with complette markets and a multiplicityof martingale measures constructed by Artzner and Heath (1995). The resolution lies in noting that completeness is with respect to a topology on the space of cash flows and is connected with uniqueness of the price functional in the topological dual space. Uniqueness may be lost outside the dual and this is what occurs in the counterexample of Artzner and Heath.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00070
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  • 2
    Electronic Resource
    Electronic Resource
    Option Pricing With V. G. Martingale Components (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x
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  • 3
    Electronic Resource
    Electronic Resource
    Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00080.x
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  • 4
    Electronic Resource
    Electronic Resource
    A Discrete Time Equivalent Martingale Measure (1998)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc.
    Mathematical finance 8 (1998), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: An equivalent martingale measure selection strategy for discrete time, continuous state, asset price evolution models is proposed. The minimal martingale law is shown to generally fail to produce a probability law in this context. The proposed strategy, termed the extended Girsanov principle, performs a multiplicative decomposition of asset price movements into a predictable and martingale component with the measure change identifying the discounted asset price process to the martingale component. However, unlike the minimal martingale law, the resulting martingale law of the extended Girsanov principle leads to weak form efficient price processes. It is shown that the proposed measure change is relevant for economies in which investors adopt hedging strategies that minimize the variance of a risk adjusted discounted cost of hedging that uses risk adjusted asset prices in calculating hedging returns. Risk adjusted prices deflate asset prices by the asset's excess return. The explicit form of the change of measure density leads to tractable econometric strategies for testing the validity of the extended Girsanov principle. A number of interesting applications of the extended Girsanov principle are also developed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00048
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  • 5
    Electronic Resource
    Electronic Resource
    OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing formulas based on the absence of arbitrage opportunities in this context are also developed. the analysis is for the case where assets returns are driven by a finite number of Brownian motions and an m-variate point process. the inclusion of :the additional traded assets in the term structure makes it possible to hedge systematic jumps imbedded in the m variate point process.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00070.x
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  • 6
    Electronic Resource
    Electronic Resource
    Project Evaluation and Accounting Income Forecasts (1985)
    Oxford, UK : Blackwell Publishing Ltd
    Abacus 21 (1985), S. 0 
    Details
    ISSN: 1467-6281
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: It is shown that the economically justifiable criterion for project evaluation of maximizing current net market value is equivalent to maximizing the discounted net cash equivalent flow. It is argued that the appropriate income concept for project evaluation is therefore the one used in the system devised by Chambers, ‘Continuously Contemporary Accounting’.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-6281.1985.tb00119.x
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  • 7
    Electronic Resource
    Electronic Resource
    Stochastic Volatility for Lévy Processes (2003)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 13 (2003), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that are solutions to Ornstein-Uhlenbeck equations driven by one-sided discontinuous Lévy processes permitting correlation with the stock. Positive stock price processes are obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating these processes. The characteristic functions for the log price can be used to yield option prices via the fast Fourier transform. In general mean-corrected exponentiation performs better than employing the stochastic exponential. It is observed that the mean-corrected exponential model is not a martingale in the filtration in which it is originally defined. This leads us to formulate and investigate the important property of martingale marginals where we seek martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00020
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  • 8
    Electronic Resource
    Electronic Resource
    Time Changes for Lévy Processes (2001)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 11 (2001), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite arrival rate of jumps as models for the logarithm of asset prices. These processes may be written as time-changed Brownian motion. We exhibit the explicit time change for each of a wide class of Lévy processes and show that the time change is a weighted price move measure of time. Additionally, we present a number of Lévy processes that are analytically tractable, in their characteristic functions and Lévy densities, and hence are relevant for option pricing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00108
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  • 9
    Electronic Resource
    Electronic Resource
    CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and for which the family of Hermite polynomials serves as an orthonormal basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims written as functions of a single asset price we infer from observed option prices the implicit prices of basis elements and use these to construct the implied equivalent martingale measure density with respect to the reference measure, which in this case is the Black-Scholes geometric Brownian motion model. Data on S & P 500 options from the Wall Street Journal are used to illustrate the calculations involved. On this illustrative data set the equivalent martingale measure deviates from the Black-Scholes model by relatively discounting the larger price movements with a compensating premia placed on the smaller movements.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00093.x
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  • 10
    Electronic Resource
    Electronic Resource
    A Characterization of Complete Security Markets On A Brownian Filtration (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00014.x
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