the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community of faculty, visiting scholars and Ph.D. candidates whose research interests complement and support the mission of the Center. The Center works closely with industry executives and practitioners to ensure that its research is informed by the operating realities and competitive demands facing industry participants as they pursue competitive excellence. Copies of the working papers summarized here are available from the Center. If you would like to learn more about the Center or become a member of our research community, please let us know of your interest. The Working Paper Series is made possible by a generous grant from the Alfred P. Sloan Foundation
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191
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Martingales and arbitrage in multiperiod securities markets
– Harrison, Kreps
- 1979
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166
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Modelling Extremal Events for Insurance and Finance
– Embrechts, Klüppelberg, et al.
- 1997
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131
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Dynamic asset pricing theory
– Duffie
- 1992
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125
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Bargaining and Markets
– Osborne, Rubinstein
- 1990
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118
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Coherent measures of risk
– ARTZNER, EBER, et al.
- 1999
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68
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A general version of the fundamental theorem of asset pricing
– Delbaen, Schachermayer
- 1994
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53
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Hedging of Contingent Claims under Incomplete Information
– Follmer, Schweizer
- 1991
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40
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Hedging of Non-Redundant Contingent Claims
– Föllmer, Sondermann
- 1986
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40
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Saddlepoint approximations
– Jensen
- 1995
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14
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Options, Futures and Other Derivative Securities, 2nd Edition
– Hull
- 1993
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13
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Effective Actuarial Methods
– Goovaerts, Kaas, et al.
- 1990
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10
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Actuarial Mathematics. The Society of Actuaries
– Bowers, Gerber, et al.
- 1986
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10
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On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition
– Schweizer
- 1995
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8
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Mathematical methods in risk theory
– Bühlmann
- 1970
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8
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An introduction to mathematical risk theory
– Gerber
- 1979
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7
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An economic premium principle
– Bühlmann
- 1980
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5
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Pricing catastrophe futures and call spreads: an arbitrage approach
– Cummins, Geman
- 1995
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5
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A martingale approach to premium calculation principles in an arbitrage free market
– Delbaen, Haezendonck
- 1989
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5
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Option pricing by Esscher transforms. With discussion
– Gerber, Shiu
- 1994
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4
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An equilibrium model of catastrophe insurance futures contracts
– Aase
- 1994
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4
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Contributions to the mathematics of catastrophe insurance futures. Diplomarbeit, ETH–Zürich
– Meister
- 1995
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2
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Information asymmetry and insurance futures and options
– Brockett, Cox, et al.
- 1995
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2
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Premium calculation. ETH-preprint
– Bühlmann
- 1984
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2
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Actuaries of the third kind
– Bühlmann
- 1987
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2
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Embrechts and A.N. Shiryaev (1996(a)) No–arbitrage, change of measure and conditional Esscher transforms
– Bühlmann, Delbaen, et al.
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2
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Embrechts and A.N. Shiryaev (1996(b)) Fundamental theorem of asset pricing, Esscher transforms and change of measure
– Bühlmann, Delbaen, et al.
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2
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A general option pricing formula for incomplete markets. Imperial College preprint
– Davis, Robeau
- 1994
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2
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Hedging non-traded wealth: when is there separation of hedging and investment
– Dybvig
- 1992
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2
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Pricing insurance derivatives, the case of CATfutures
– Embrechts, Meister
- 1995
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2
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de Vylder and J.M
– Goovaerts, E
- 1994
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2
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Grundbegriffe der Risikotheorie
– Heilmann
- 1987
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2
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Pricing by no arbitrage
– Jensen, Nielsen
- 1995
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2
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The perfume of the premium . . . or pricing insurance derivatives
– Lane
- 1996
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2
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Financial pricing of insurance in a multiline company
– Phillips, Cummins
- 1995
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2
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Reinsurance in arbitrage free markets
– Sondermann
- 1991
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1
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Introduction and Calcul Stochastigue Appliquée à la Finance. Edition Ellipses
– Lamberton, Lapeyre
- 1991
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