Download or read book Differential Topology and General Equilibrium with Complete and Incomplete Markets written by Antonio Villanacci and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: General equilibrium In this book we try to cope with the challenging task of reviewing the so called general equilibrium model and of discussing one specific aspect of the approach underlying it, namely, market completeness. With the denomination "general equilibrium" (from now on in short GE) we shall mainly refer to two different things. On one hand, in particular when using the expression "GE approach", we shall refer to a long established methodolog ical tradition in building and developing economic models, which includes, as of today, an enormous amount of contributions, ranging in number by several 1 thousands • On the other hand, in particular when using the expression "stan dard differentiable GE model", we refer to a very specific version of economic model of exchange and production, to be presented in Chapters 8 and 9, and to be modified in Chapters 10 to 15. Such a version is certainly formulated within the GE approach, but it is generated by making several quite restrictive 2 assumptions • Even to list and review very shortly all the collective work which can be ascribed to the GE approach would be a formidable task for several coauthors in a lifetime perspective. The book instead intends to address just a single issue. Before providing an illustration of its main topic, we feel the obligation to say a word on the controversial character of GE. First of all, we should say that we identify the GE approach as being based 3 on three principles .

Download or read book Equilibrium in Incomplete Markets with Differential Information written by Lionel de Boisdeffre and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Differential Topology and General Equilibrium with Complete and Incomplete Markets written by Antonio Villanacci and published by . This book was released on 2014-01-15 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the same type and all random endowments are replicable by trading in the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi-dimensional backward stochastic differential equation. If the market is complete in equilibrium, the system of equations decouples, but if not, one needs to keep track of the prices and continuation values of all agents to solve it. As an example we simulate option prices in the presence of stochastic volatility, demand pressure and short-selling constraints. -- Competitive equilibrium ; incomplete markets ; heterogenous agents ; trading constraints ; backward stochastic difference equations

Download or read book Differential Information Economies and Incomplete Markets written by Kira Pronin and published by . This book was released on 2019 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a pure exchange economy with differential information, there may be ex-post Pareto-dominant core allocations which are not attainable as rational expectations equilibria because of information verifiability issues. On the other hand, many of the core allocations in the differential information economy do not seem realistic, given incentive constraints. This fundamental tension between missed trading opportunities and moral hazard will be explored using concepts from cooperative game theory and financial economics.

Download or read book Differential Information Economies written by Dionysius Glycopantis and published by Springer Science & Business Media. This book was released on 2005-12-28 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the main problems in current economic theory is to write contracts which are Pareto optimal, incentive compatible, and also implementable as a perfect Bayesian equilibrium of a dynamic, noncooperative game. The question arises whether it is possible to provide Walrasian type or cooperative equilibrium concepts which have these properties. This volume contains original contributions on noncooperative and cooperative equilibrium notions in economies with differential information and provides answers to the above questions. Moreover, issues of stability, learning and continuity of alternative equilibria are also examined.

Download or read book Special issue on general equilibrium with incomplete markets written by John Geanakoplos and published by . This book was released on 1990 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Competitive Equilibrium with Incomplete Financial Markets written by David Cass (deceased) and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is my classic paper, written in early 1984, concerning existence and optimality in general financial equilibrium with incomplete markets for nominal assets, just now being published in a special issue of the Journal of Mathematical Economics.

Download or read book On the Existence and the Topology of Equilibria in Incomplete Asset Markets written by Graciela Chichilnisky and published by . This book was released on 1993 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Continuous Time Finance written by Bernard Dumas and published by MIT Press. This book was released on 2017-10-27 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.

Download or read book Equilibria with Incomplete Markets and Overlapping Generations written by David Cass and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Incomplete Financial Markets and Indeterminacy of Competitive Equilibrium written by David Cass and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium with incomplete markets and an infinite state space written by Darrell Duffie and published by . This book was released on 1996 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium in Incomplete Markets I A Basic Model of Generic Existence written by Mathematical Sciences Research Institute (Berkeley, Calif.). and published by . This book was released on 1986 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium in Incomplete Markets II Generic Existence in Stochastic Economies written by Mathematical Sciences Research Institute (Berkeley, Calif.). and published by . This book was released on 1986 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Damped Asset Trading in the General Equilibrium Model with Incomplete Asset Markets written by Karl Schmedders and published by . This book was released on 1996 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book General Equilibrium Theory with Asymmetric Information and Incomplete Financial Markets written by Lionel Jean De Boisdeffre and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: