Fundamental Theorems of Asset Pricing for Good Deal Bounds
By Jeremy Staum. 2004
103 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/7a749c88426bdc4a8db9dfd6ea004c7fc93c45c4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jocelyne Bion-Nadal
- Massimo Marinacci
- Fabio Maccheroni
- Patrick Cheridito
- Michael Kupper
- Nicole El Karoui
- Simone Cerreia-Vioglio
- Giacomo Scandolo
In Finance
- Jocelyne Bion-Nadal
- Nicole El Karoui
- Michael Kupper
- Patrick Cheridito
- Giacomo Scandolo
- Freddy Delbaen
- Marco Frittelli
- Claudia Ravanelli
In Management Science and Operations Research
- Jocelyne Bion-Nadal
- Michael Kupper
- Patrick Cheridito
- Nicole El Karoui
- Giacomo Scandolo
- Marco Frittelli
- Fabio Maccheroni
- Massimo Marinacci
Citations in the corpus
- Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “For papers along these lines we refer to Cherny [20], Staum [62], Björk and Slinko [9], and Klöppel and Schweizer [53].”
- Spreadsheet simulation (2004, unknown): “With this growth, delays are increasing, and safety is becoming a more crucial problem.”
- CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “Journal Compilation C© 2009 Wiley Periodicals, Inc. 561 El Karoui and Quenez (1996), Carr, Geman, and Madan (2001), Frittelli and Rosazza Gianin (2004), Staum (2004), Filipovic and Kupper (2008), and Jouini, Schachermayer, and Touzi (2008).”
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010, background): “DOI: 10.1111/j.1467-9965.2010.00450.x C© 2010 Wiley Periodicals, Inc. 743 Frittelli and Rosazza Gianin (2004), Staum (2004), Filipović and Kupper (2008), and Jouini, Schachermayer, and Touzi (2008).”
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006, result): “…results similar to (4.12), in which the penalty function splits into two parts, have been derived by Föllmer and Schied (2002) for a convex risk measure in a one-period model, when an underlying financial market is available, and by Staum (2004) who considers bid/ask prices in an abstract setting.”
- Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, background): “For relations of coherent and convex monetary risk measures to pricing and hedging in incomplete markets, we refer to Jaschke and Küchler (2001), Carr et al. (2001), Frittelli and Rosazza Gianin (2004), and Staum (2004).”