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 Agents Agreement and Partial Equilibrium Pricing in Incomplete Markets written by Michail Anthropelos and published by . This book was released on 2008 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and sufficient conditions for the negotiation to be successful, i.e., for the trade to occur. We, also, study the asymptotic case where the size of the claim is small compared to the random endowments and give a full characterization in this case. We, then, study a partial-equilibrium problem for a bundle of divisible claims and establish its existence and uniqueness. A number of technical results on conditional indifference prices are provided. Finally, we generalize the notion of partial-equilibrium pricing in the case where the agents' risk preferences are modelled by convex capital requirements.

Download or read book Set Optimization and Applications The State of the Art written by Andreas H Hamel and published by Springer. This book was released on 2015-11-21 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents five surveys with extensive bibliographies and six original contributions on set optimization and its applications in mathematical finance and game theory. The topics range from more conventional approaches that look for minimal/maximal elements with respect to vector orders or set relations, to the new complete-lattice approach that comprises a coherent solution concept for set optimization problems, along with existence results, duality theorems, optimality conditions, variational inequalities and theoretical foundations for algorithms. Modern approaches to scalarization methods can be found as well as a fundamental contribution to conditional analysis. The theory is tailor-made for financial applications, in particular risk evaluation and [super-]hedging for market models with transaction costs, but it also provides a refreshing new perspective on vector optimization. There is no comparable volume on the market, making the book an invaluable resource for researchers working in vector optimization and multi-criteria decision-making, mathematical finance and economics as well as [set-valued] variational analysis.

Download or read book Equilibrium Pricing in Incomplete Markets written by Elyes Jouini and published by . This book was released on 2007 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given exogenously the price process of some asets, we constrain the price process of other assets, which are characterised by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators and these restrictions do not depend on a particular choice of utility function. A stochastic volatility model is numerically investigated as an example. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval.

Download or read book Existence of Equilibrium in Incomplete Markets with Non ordered Preferences written by Erkan Yalcin and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we extend the results of recent studies on the existence of equilibrium in finite dimensional asset markets for both bounded and unbounded economies. We do not assume that the individual's preferences are complete or transitive. Our existence theorems for asset markets allow for short selling. We shall also show that the equilibrium achieves a constrained core within the same framework.

Download or read book Pricing in Incomplete Markets written by A. Bizid and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium in a market with incomplete preferences where the number of consumers may be finite written by Claus Weddepohl and published by . This book was released on 1974 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analyzing Equilibrium in Incomplete Markets with Model Uncertainty written by Daisuke Yoshikawa and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference pricing and utility-based pricing. Addressing model uncertainty, we also consider agents who adopt max/min expected utility and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the differences in the features of equilibria derived using these methods. Further, we show that the traded amount of random endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits.

Download or read book Existence of equilibria in incomplete markets with non ordered preferences written by Erkan Yalcin and published by . This book was released on 1997 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Existence of Equilibrium and Price Adjustments in a Finance Economy with Incomplete Markets written by Adolphus Johannes Jan Talman and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-07-25 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures

Download or read book Existence of Equilibrium and Price Adjustment in a Finance Economy with Incomplete Markets written by and published by . This book was released on 2004 with total page 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 The Identification of Preferences from Equilibrium Prices Under Uncertainty written by Pierre-André Chiappori and published by . This book was released on 2000 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Asset Pricing Theory written by Claus Munk and published by Oxford University Press, USA. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Download or read book Existence of an Equilibrium in Incomplete Markets with Discrete Choices and Many Markets written by Jonathan Halket and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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: