Sunday, November 9, 2014

martingales characterize the existence of equilibrium. Asset Pricing Using Finite State Markov Chain Stochastic Harmonic and Probabilistic Approaches

while local martin-

gales characterize the absence of arbitrage, martingales characterize the existence of equilibrium.

However, this equilibrium is di¢ cult to imagine, because for every portfolio traders can build a

new one with identical price, higher return and lower risk.
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=forofinanzas2013&paper_id=49


Stochastic discount factor - Wikipedia, the free encyclopedia

en.wikipedia.org/wiki/Stochastic_discount_factor
Wikipedia
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A Stochastic discount factor (SDF) is a concept in financial economics and mathematical finance. If there are n assets with initial prices p_1, ..., p_n at the ...
Missing: riemann

  • [PDF]Lecture 2: Stochastic Discount Factor - people

    people.bu.edu/sgilchri/teaching/.../lecture2_sdf.pdf
    Boston University
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    ... Discount Factor (SDF). A stochastic discount factor is a stochastic process {Mt,t+s} ... SDF must have (roughly) permanent innovations (Alvarez and. Jermann ...
    Missing: riemann

  • [PDF]A Critique of the Stochastic Discount Factor Methodology

    apps.olin.wustl.edu/faculty/zhou/KZ-JF99.pdf
    Olin Business School
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    by R KAN - ‎1999 - ‎Cited by 83 - ‎Related articles
    In this paper, we point out that the widely used stochastic discount factor ~SDF! methodology ignores a fully specified model for asset returns. As a result, it ...
    Missing: riemann

  • Hedging under arbitrage - ResearchGate

    www.researchgate.net/.../45908184_Hedging_under_arbitrag...
    ResearchGate
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    with several assets and with the stochastic discount factor itself being .... upon the MPR, we are now ready to define the stochastic discount factor (SDF) as ?

  • [PDF]A Utility Driven Change of Measure - University of Cape Town

    https://open.uct.ac.za/.../thesis_com_2014_com_carolissen_k.pdf?...1
    by K Carolissen - ‎2014
    May 26, 2014 - Using the stochastic discount factor and the Radon-Nikodým ... 3.1 Stochastic Discount Factors . ... 3.2 The SDF and Utility of Asset Prices . ..... Let the function f be a non-negative Borel measurable function, that is Riemann-.

  • Pricing Derivative Securities: An Interactive, Dynamic ...

    books.google.com/books?isbn=0125649150
    Eliezer Z. Prisman - 2000 - ‎Business & Economics
    Ptl = Pt2, then the stochastic discount factors for time ti + 1, as of time tI, equal those of ... "Recall that if the (Riemann) integral of the function ipt(-) exists, it is given in terms of the limit of a sum. ... RISK-NEUTRAL PROBABILITY AND THE SDF.

  • Biblioteca Digital UGF - Teses, Dissertações, Artigos ...

    posugf.com.br/biblioteca/?word=Conditional+value+at+risk...
    The inclusion of this second factor proves to be crucial for the appropriate pricing of .... In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing .... Solutions de rang k et invariants de Riemann pour les systèmes de type ...

  • Asset Pricing Using Finite State Markov Chain Stochastic ...

    www.tandfonline.com › List of Issues › Table Of Contents
    by J van der Hoek - ‎2012 - ‎Cited by 6 - ‎Related articles
    Aug 10, 2012 - Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions ... The first is the theory of asset pricing using a stochastic discounting function (SDF). ... Interest rate models, stock price models, futures pricing, exchange ... Harmonic and Probabilistic Approaches to Zeros of Riemann's Zeta ...

  • [PDF]Lecture Notes - New York University

    people.stern.nyu.edu/.../le...
    New York University Stern School of Business
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    density or stochastic discount factor (sdf). If Ω is finite, ζ(ω) can be interpreted as .... where the integral is Riemann-Stieltjes path by path. Definition 1.8 A trading ...

  • [PDF]MQdWell

    docsdrive.com/pdfs/medwelljournals/jeth/2008/106-111.pdf
    by S Lai - ‎2008 - ‎Related articles
    growth rate of the endowment followed a simple two-state ... in which the Stochastic Discount Factor (SDF) is given by the form .... the Cauchy-Riemann equation.
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