activity
20092020
most citedA class of short-term models for the oil industry addressing speculative storage

2 citations · 2 across the 3 of their papers we have counts for

collaborators
Showing q-fin.MFShow all

2 papers · 1 filter

q-fin.MF2017

Shorting in Speculative Markets

Marcel Nutz, José A. Scheinkman

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease…

q-fin.MF2014

Misspecified Recovery

Jaroslav Borovička, Lars Peter Hansen, José A. Scheinkman

Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the c…