57 citations · 96 across the 22 of their papers we have counts for
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q-fin.PR2012
Heat Kernel Framework for Asset Pricing in Finite Time
Andrea Macrina
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise…
q-fin.GN2012
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Ulrich Horst, Michael Kupper, Andrea Macrina +1
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to s…