MARKET FORCES AND DYNAMIC ASSET PRICING

DOI10.1081/SAP-120014553zbMath1039.91018MaRDI QIDQ4797323

Jamsheed Shorish, Goran Peskir

Publication date: 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motionasset pricingoptimal stochastic controlinertial frame of referencemarket forcesfinancial market microstructureaccelerated frame of referenceNewton's laws of mechanicsspecialist-investor equilibrium

Mathematics Subject Classification ID

Related Items (2)

Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market ⋮ Risk minimizing portfolios and HJBI equations for stochastic differential games

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Dynamic equilibrium and volatility in financial asset markets
• Processes of normal inverse Gaussian type
• The Brownian movement and stochastic equations
• Asset Prices in an Exchange Economy
• The Consumption-Based Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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