Hedging quantitative easing

References

• Arnold, L. 1974. Stochastic Differential Equations. New York: Wiley.
   Google Scholar
• Arrow, K. 1964. “The Role of Securities in the Optimal Allocation of Risk-Bearing.” Review of Economic Studies 31 (2): 91–99. https://doi.org/10.2307/2296188.
   Web of Science ®Google Scholar
• Barndorff-Nielsen, O., and N. Shephard. 2001. “Non-Gaussian Ornstein-Uhlenbeck Based Models and Some of Their Uses in Financial Economics.” Journal of the Royal Statistical Society. Series B (Statistical Methodology 63 (2): 167–241. https://doi.org/10.1111/1467-9868.00282.
   Web of Science ®Google Scholar
• Batini, N., and E. Nelson. 2002. “The Lag From Monetary Policy Actions to Inflation: Friedman Revisited.” Bank of England External Monetary Policy Committee Unit. Discussion Paper #6.
   Google Scholar
• Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (3): 637–654. https://doi.org/10.1086/260062.
   Web of Science ®Google Scholar
• Cox, J., and S. Ross. 1976. “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics 3 (1-2): 145–166. https://doi.org/10.1016/0304-405X(76)90023-4.
   Web of Science ®Google Scholar
• Cox, J., and M. Rubinstein. 1985. Options Markets. Englewood Cliffs, NJ: Prentice-Hall, Inc.
   Google Scholar
• Crank, J. 1983. The Mathematics of Diffusion. Oxford: Clarendon Press.
   Google Scholar
• Debrue, G. 1959. Theory of Value: An Axiomatic Analysis of Economic Equilibrium. New Haven: Yale University Press.
   Google Scholar
• Fama, E. 1981. “Stock Returns, Real Activity, Inflation, and Money.” American Economic Review 71 (4): 545–565.
   Web of Science ®Google Scholar
• Freeman, H. 1963. Introduction to Statistical Inference. Reading, MA: Addison-Wesley Publishing Company, Inc.
   Google Scholar
• Friedman, Milton. 1970a. “Counter-Revolution in Monetary Theory.” Wincott Memorial Lecture, Institute of Economic Affairs, Occasional paper 33.
   Google Scholar
• Friedman, M. 1970b. “A Theoretical Framework for Monetary Analysis.” Journal of Political Economy 78 (2): 193–238. https://doi.org/10.1086/259623.
   Web of Science ®Google Scholar
• Friedman, M. 1977. “Nobel Lecture: Inflation and Unemployment.” Journal of Political Economy 85 (3): 451–472. https://doi.org/10.1086/260579.
   Web of Science ®Google Scholar
• Gordon, R., ed. 1986. The American Business Cycle: Continuity and Change. Chicago, IL: University of Chicago Press.
   Google Scholar
• Guo, Q., H. Rhys, X. Song, and M. Tippett. 2016. “The Friedman Rule and Inflation Targeting.” European Journal of Finance 22 (14): 1414–1434. https://doi.org/10.1080/1351847X.2014.953700.
   Web of Science ®Google Scholar
• Harrison, J., and D. Kreps. 1979. “Martingales and Arbitrage in Multi-Period Securities Markets.” Journal of Economic Theory 20 (3): 381–408. https://doi.org/10.1016/0022-0531(79)90043-7.
   Web of Science ®Google Scholar
• Harrison, J., and S. Pliska. 1981. “Martingales and Stochastic Integrals in the Theory of Continuous Trading.” Stochastic Processes and Their Applications 11 (3): 215–260. https://doi.org/10.1016/0304-4149(81)90026-0.
   Google Scholar
• Harrison, J., and S. Pliska. 1983. “A Stochastic Model of Continuous Trading: Complete Markets.” Stochastic Processes and Their Applications 15 (3): 313–316. https://doi.org/10.1016/0304-4149(83)90038-8.
   Google Scholar
• Hirshleifer, J. 1970. Investment, Interest and Capital. Englewood Cliffs, NJ: Prentice-Hall, Inc.
   Google Scholar
• Hoel, P., S. Port, and C. Stone. 1987. Introduction to Stochastic Processes. Long Grove, IL: Waveland Press, Inc.
   Google Scholar
• Hong, K., and S. Satchell. 2012. “Defining Single Asset Price Momentum in Terms of a Stochastic Process.” Theoretical Economics Letters 2 (03): 274–277. https://doi.org/10.4236/tel.2012.23050.
   Google Scholar
• Kreps, D. 1981. “Arbitrage and Equilibrium in Economics with Infinitely Many Commodities.” Journal of Mathematical Economics 8 (1): 15–35. https://doi.org/10.1016/0304-4068(81)90010-0.
   Web of Science ®Google Scholar
• Kumhof, M., and S. Van Nieuwerburgh. 2002. A Fiscal theory of the currency risk premium and of sterilized intervention. IMF Working Paper. WP02/09.
   Google Scholar
• Lucas, R. 1980. “Two Illustrations of the Quantity Theory of Money.” American Economic Review 70 (5): 1005–1014.
   Web of Science ®Google Scholar
• Lucas, R. 1996. “Nobel Lecture: Monetary Neutrality.” Journal of Political Economy 104 (4): 661–682. https://doi.org/10.1086/262037.
   Web of Science ®Google Scholar
• Merton, R. 1973. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4 (1): 141–183. https://doi.org/10.2307/3003143.
   Google Scholar
• Polyanin, A., and V. Zaitsev. 2016. Handbook of Linear Partial Differential Equations. London: CRC Press.
   Google Scholar
• Ross, S. 1976. “Options and Efficiency.” Quarterly Journal of Economics 90 (1): 75–89. https://doi.org/10.2307/1886087.
   Web of Science ®Google Scholar
• Shiller, R. 2015. Irrational Exuberance. Princeton: Princeton University Press.
   Google Scholar
• Song, X., T. P. Truong, M. Tippett, and J. van der Burg. 2022. “The Quantity Theory of Stock Prices.” European Journal of Finance 28 (17): 1685–1707. https://doi.org/10.1080/1351847X.2021.2002705.
   Web of Science ®Google Scholar
• Uhlenbeck, G., and L. Ornstein. 1930. “On the Theory of the Brownian Motion.” Physical Review 36 (5): 823–841.
   Google Scholar
• Wald, A., and J. Wolfowitz. 1940. “On a Test Whether two Samples are from the Same Population.” Annals of Mathematical Statistics 11 (2): 147–162. https://doi.org/10.1214/aoms/1177731909.
   Google Scholar
• Weinberger, H. 1965. Partial Differential Equations. Lexington, MA: Xerox College Publishing.
   Google Scholar