Download or read book Theoretical Study of Incomplete Financial Markets written by Akio Yasuhara and published by . This book was released on 1981 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Theory of Incomplete Markets written by Michael Magill and published by MIT Press. This book was released on 2002 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.

Download or read book General Equilibrium Foundations of Finance written by Thorsten Hens and published by Springer Science & Business Media. This book was released on 2002 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of General Equilibrium Foundations of Finance is to give a sound economic foundation of finance based on the general equilibrium model with incomplete markets which embodies the famous CAPM as an important special case. This goal is achieved by giving reasonable restrictions on the agents' characteristics that lead to a well determined financial markets model having a unique competitive equilibrium. The innovation of this book is to transfer and to extend the theoretical results on the structure of competitive equilibria into the modern context of incomplete financial markets. General Equilibrium Foundations of Finance should be easily accessible by advanced Ph.D. students as well as by theorists of any subfield of mathematical economics. It should be interesting both for theorists who are looking for possible applications of rigorous theorizing as well as for practitioners who seek for a theoretical foundation of fruitful applications of financial markets' models.

Download or read book Financial Markets and Incomplete Information written by Sudipto Bhattacharya and published by Rowman & Littlefield Publishers. This book was released on 1989 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Major themes in theoretical financial economics since 1973 are presented through reprinted articles, each followed by a substantial essay by a leading scholar in the field. These original papers were written expressly for these volumes and provide a critical discussion and overview of the topic. The books thus present a broad spectrum of viewpoints with an emphasis on the work on valuation, economics of uncertainty, and taxation which pertains to the problems of financial markets and corporations.

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2002-12-11 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.

Download or read book Asymptotic Inefficiency of Incomplete Asset Markets written by Ricardo Luis Chaves Feijó and published by LAP Lambert Academic Publishing. This book was released on 2014-10-03 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Demonstrate theoretically the possibility that the financial market, albeit incomplete, has equilibrium and that this equilibrium is efficient has been an important topic at the frontier of the research on general equilibrium for financial markets. This paper proposes to make a critical survey of the literature on general equilibrium with incomplete financial markets that discusses in which condition it is possible to demonstrate the asymptotic properties. In particular, we examine whether each equilibrium that ensues with additions of securities are or not constrained Pareto optimum. The constrained optimality analysis runs into the difficulty that it is hard to proceed sensibly without tackling the difficult problem of the determination of the asset structure. With incomplete markets, the asset structures matters. The paper offers and solves an example where a structure of Arrow securities relates to the asymptotic inefficiency.

Download or read book Pricing and Hedging in Incomplete Financial Markets written by Andreas Martin Würth and published by . This book was released on 2009 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Adaptive Markets written by Andrew W. Lo and published by Princeton University Press. This book was released on 2019-05-14 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.

Download or read book Mathematics of Financial Markets written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2005-10-04 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

Download or read book Mathematical Techniques in Finance written by Ales Cerný and published by Princeton University Press. This book was released on 2009-07-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter

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 Frontiers of Modern Financial Theory Financial markets and incomplete information written by Sudipto Bhattacharya and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Theory of Financial Markets and Information written by James A. Ohlson and published by North-Holland. This book was released on 1987 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foundations of Insurance Economics written by Georges Dionne and published by Springer Science & Business Media. This book was released on 1992 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic and financial research on insurance markets has undergone dramatic growth since its infancy in the early 1960s. Our main objective in compiling this volume was to achieve a wider dissemination of key papers in this literature. Their significance is highlighted in the introduction, which surveys major areas in insurance economics. While it was not possible to provide comprehensive coverage of insurance economics in this book, these readings provide an essential foundation to those who desire to conduct research and teach in the field. In particular, we hope that this compilation and our introduction will be useful to graduate students and to researchers in economics, finance, and insurance. Our criteria for selecting articles included significance, representativeness, pedagogical value, and our desire to include theoretical and empirical work. While the focus of the applied papers is on property-liability insurance, they illustrate issues, concepts, and methods that are applicable in many areas of insurance. The S. S. Huebner Foundation for Insurance Education at the University of Pennsylvania's Wharton School made this book possible by financing publication costs. We are grateful for this assistance and to J. David Cummins, Executive Director of the Foundation, for his efforts and helpful advice on the contents. We also wish to thank all of the authors and editors who provided permission to reprint articles and our respective institutions for technical and financial support.

Download or read book Sunspots and Incomplete Financial Markets 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 Financial Super markets written by Philippe J. Martin and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new theoretical framework to analyze financial markets in an international context. We build a two-country macroeconomic model in which agents are risk averse, assets are imperfect substitutes, the number of financial assets is endogenous, and cross-border asset trade entails transaction costs. We show that demand effects have important implications for the link between market size, asset prices and financial market development. These effects are consistent with the existing empirical evidence. Due to co-ordination failures, the extent of financial market incompleteness is inefficiently high. We also analyze the impact of domestic transaction costs and issuing costs on financial markets and returns."--Authors.

Download or read book Essays on Incomplete Markets and Macroeconomics written by Juan Carlos Aquino Chavez and published by . This book was released on 2018 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essays on Incomplete Markets and Macroeconomics consists of contributions of theoretical and empirical nature in the sub-field of Macroeconomics through two chapters. In the first chapter, titled Liquidity Regulation in a Monetary Economy, although it is commonly argued that the prevention of bank runs is the main reason to regulate banks' asset portfolios, I show that a market failure that justifies such regulation lies on the incompleteness of financial markets when there is risk about the aggregate distribution of transaction types. I develop a framework in which outside (fiat, government-provided) and inside (plastic, bank-created) money co-exist as means of payment under either complete or incomplete financial markets for aggregate risk. The welfare analysis is reduced to comparing only two parameters: the currency-to-liability ratio [delta] which is set by the government and the fraction [rho] of banks' depositors engaged in cash-only transactions (inside money cannot be accepted). In equilibrium, when [delta]