On the public citation graph

Robust Stochastic Discount Factors

https://doi.org/10.1093/rfs/hhm067
0 signed · 61 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/bf01574150openalex-snapshot
Pricing of non-redundant derivatives in a complete market
inferredcites →https://doi.org/10.1016/0304-405x(89)90078-0openalex-snapshot
Stock-price volatility, mean-reverting diffusion, and noise
inferredcites →https://doi.org/10.1016/0304-4076(94)01656-kopenalex-snapshot
A Bayesian approach to diagnosis of asset pricing models
inferredcites →https://doi.org/10.1016/s0304-405x(01)00080-0openalex-snapshot
Evaluating the specification errors of asset pricing models
inferredcites →https://doi.org/10.1016/s0304-4149(00)00070-3openalex-snapshot
Large deviations for the Fleming–Viot process with neutral mutation and selection, II
inferredcites →https://doi.org/10.1016/s0304-4149(98)00035-0openalex-snapshot
Large deviations for the Fleming–Viot process with neutral mutation and selection11Research supported by the Natural Science and Engineering Research Council of Canada.
inferredcites →https://doi.org/10.1016/s0304-4149(99)00123-4openalex-snapshot
Corrigendum to “Large deviations for the Fleming-Viot process with neutral mutation and selection”
inferredcites →https://doi.org/10.1023/a:1024568429527openalex-snapshot
Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00612.xopenalex-snapshot
Model Misspecification and Underdiversification
inferredcites →https://doi.org/10.1080/17442509408833943openalex-snapshot
Equivalent martingale measures and no-arbitrage
inferredcites →https://doi.org/10.1086/261749openalex-snapshot
Implications of Security Market Data for Models of Dynamic Economies
inferredcites →https://doi.org/10.1086/262112openalex-snapshot
Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets
inferredcites →https://doi.org/10.1086/262114openalex-snapshot
Gain, Loss, and Asset Pricing
inferredcites →https://doi.org/10.1093/rfs/15.2.363openalex-snapshot
Robustness and Pricing with Uncertain Growth
inferredcites →https://doi.org/10.1093/rfs/4.4.727openalex-snapshot
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/hhg016openalex-snapshot
Statistical Arbitrage and Securities Prices
inferredcites →https://doi.org/10.1093/rfs/hhh003openalex-snapshot
Robust Portfolio Rules and Asset Pricing
inferredcites →https://doi.org/10.1093/rfs/hhi035openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
inferredcites →https://doi.org/10.1093/rfs/hhl001openalex-snapshot
Portfolio Selection in Stochastic Environments
inferredcites →https://doi.org/10.1093/rfs/hhl003openalex-snapshot
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.1109/9.384242openalex-snapshot
Discounted linear exponential quadratic Gaussian control
inferredcites →https://doi.org/10.1111/1467-9965.00064openalex-snapshot
Bounds on European Option Prices under Stochastic Volatility
inferredcites →https://doi.org/10.1111/j.1467-9965.2002.tb00130.xopenalex-snapshot
PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb02372.xopenalex-snapshot
Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05220.xopenalex-snapshot
A Simple Nonparametric Approach to Derivative Security Valuation
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04813.xopenalex-snapshot
Assessing Specification Errors in Stochastic Discount Factor Models
inferredcites →https://doi.org/10.1162/154247603322256774openalex-snapshot
A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
inferredcites →https://doi.org/10.1214/aop/1079021471openalex-snapshot
A stochastic representation theorem with applications to optimization and obstacle problems
inferredcites →https://doi.org/10.1214/ecp.v7-1043openalex-snapshot
Large Deviations and Quasi-Potential of a Fleming-Viot Process
inferredcites →https://doi.org/10.1257/aer.91.2.60openalex-snapshot
Robust Control and Model Uncertainty
inferredcites →https://doi.org/10.21034/dp.29openalex-snapshot
Implications of Security Market Data for Models of Dynamic Economies
inferredcites →https://doi.org/10.2139/ssrn.1007192openalex-snapshot
Pricing of Non-Redundant Derivatives in a Complete Market
inferredcites →https://doi.org/10.2307/1911241openalex-snapshot
An Intertemporal General Equilibrium Model of Asset Prices
inferredcites →https://doi.org/10.2307/1913837openalex-snapshot
Asset Prices in an Exchange Economy
inferredcites →https://doi.org/10.2307/2328253openalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.2307/2328621openalex-snapshot
Overreactions in the Options Market
inferredcites →https://doi.org/10.2307/2329490openalex-snapshot
Assessing Specification Errors in Stochastic Discount Factor Models
inferredcites →https://doi.org/10.2307/2669805openalex-snapshot
Large Deviations Techniques and Applications
inferredcites →https://doi.org/10.3386/w5489openalex-snapshot
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
inferredcites →https://doi.org/10.3386/w7377openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1102396openalex-extracted
Empirical Likelihood Estimators for Stochastic Discount Factors
inferred← citeshttps://doi.org/10.2139/ssrn.1476197openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.1534727openalex-extracted
On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint
inferred← citeshttps://doi.org/10.2139/ssrn.2192559openalex-extracted
No Good Deals — No Bad Models
inferred← citeshttps://doi.org/10.2139/ssrn.2307022openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2459405openalex-extracted
Pricing and Hedging in Incomplete Markets with Model Ambiguity
inferred← citeshttps://doi.org/10.2139/ssrn.2535790openalex-extracted
Nonparametric Option Pricing with Generalized Entropic Estimators
inferred← citeshttps://doi.org/10.1007/s11146-016-9569-9openalex-snapshot
How Big are the Ambiguity-Based Premiums on Mortgage Insurances?
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2023.08.008openalex-snapshot
European option pricing with market frictions, regime switches and model uncertainty
inferred← citeshttps://doi.org/10.1016/j.iref.2019.05.009openalex-snapshot
Ambiguity and capital structure adjustments
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2011.11.017openalex-snapshot
When are Path-Dependent Payoffs Suboptimal?
inferred← citeshttps://doi.org/10.1016/j.jcorpfin.2023.102425openalex-snapshot
Does ambiguity matter for corporate debt financing? Theory and evidence
inferred← citeshttps://doi.org/10.1016/j.jempfin.2015.10.001openalex-snapshot
On the properties of the constrained Hansen–Jagannathan distance
inferred← citeshttps://doi.org/10.1016/j.jet.2017.11.002openalex-snapshot
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
inferred← citeshttps://doi.org/10.1016/s0927-0507(07)15024-6openalex-snapshot
Chapter 24 Large Deviation Techniques and Financial Applications
inferred← citeshttps://doi.org/10.1080/10920277.2008.10597521openalex-snapshot
Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models
inferred← citeshttps://doi.org/10.1142/s0219493724500436openalex-snapshot
Large deviation principle for backward stochastic differential equations with a stochastic Lipschitz condition on z
inferred← citeshttps://doi.org/10.26481/dis.20160219abopenalex-snapshot
Model uncertainty : the effect on robustness, estimation and stochastic optimisation
inferred← citeshttps://doi.org/10.3390/jrfm17100436openalex-snapshot
Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.