Results 161 to 170 of about 53,498 (290)
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
Editorial for special issue on advances in Actuarial Science and quantitative finance. [PDF]
Methodol Comput Appl Probab, 2022 Feng R +3 more
europepmc +1 more source
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family
Mathematical Finance, EarlyView.ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes.
Martin Keller‐Ressel, Felix Sachse
wiley +1 more source
Trade in Value‐Added and the Welfare Gains of International Fragmentation
Review of International Economics, EarlyView.ABSTRACT This study examines the overall impact of international production fragmentation on the welfare gains from trade. Using a novel model that accounts for shifts in preferences between local and foreign goods and distinguishes between intermediate and final goods trade, we gain a more nuanced understanding of how fragmentation shapes these ...
Arnold Njike
wiley +1 more source
Research on nash game model for user side shared energy storage pricing. [PDF]
Sci Rep, 2023 Qian W, Chen C, Gong L, Zhang W.
europepmc +1 more source
Cross‐country differences in the long‐run economic impacts of increased fertility
The Scandinavian Journal of Economics, EarlyView.Abstract Higher fertility slowly increases the ratios of workers to retirees, easing the challenge of financing pensions due to population aging. However, simulation studies differ on output impacts. Whether differences are because of models or country characteristics is unknown.
Thomas Davoine
wiley +1 more source
Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
europepmc +1 more source
Transactions of the Institute of British Geographers, EarlyView.Abstract This article contributes empirical and conceptual insights to emerging debates on the regulation of short‐term rentals (STRs) by delving into the socio‐legal foundations of this housing market segment. Drawing on a qualitative study conducted between September 2022 and June 2023 focused on the governance of for‐profit temporary housing (i.e ...
Ifigeneia Dimitrakou
wiley +1 more source
Factors affecting the maximum outcome payments of social impact bonds. [PDF]
PLoS OneWang H, Chao N, Chen J, Chen M, Fu T.
europepmc +1 more source