Essays In Incomplete Markets Theory
DOWNLOAD
Download Essays In Incomplete Markets Theory PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays In Incomplete Markets Theory book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays In Incomplete Markets Theory
DOWNLOAD
Author : Roberto Raimondo
language : en
Publisher:
Release Date : 2002
Essays In Incomplete Markets Theory written by Roberto Raimondo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Essays On The Theory Of Incomplete Markets
DOWNLOAD
Author : Atsushi Kajii
language : en
Publisher:
Release Date : 1991
Essays On The Theory Of Incomplete Markets written by Atsushi Kajii and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Equilibrium (Economics) categories.
Markets Information And Uncertainty
DOWNLOAD
Author : Kenneth Joseph Arrow
language : en
Publisher: Cambridge University Press
Release Date : 1999-01-28
Markets Information And Uncertainty written by Kenneth Joseph Arrow and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-01-28 with Business & Economics categories.
Leading theorists offer insights on the role of uncertainty and information in the market.
Three Essays On Valuation And Investment In Incomplete Markets
DOWNLOAD
Author : Nathanael David Ringer
language : en
Publisher:
Release Date : 2011
Three Essays On Valuation And Investment In Incomplete Markets written by Nathanael David Ringer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor's utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed.
Essays In Dynamic General Equilibrium Theory
DOWNLOAD
Author : Alessandro Citanna
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-11
Essays In Dynamic General Equilibrium Theory written by Alessandro Citanna and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-11 with Business & Economics categories.
In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.
Essays On The Theory Of Takeover Bids And Firm Behavior In Incomplete Markets
DOWNLOAD
Author : Jean-François Dreyfus
language : en
Publisher:
Release Date : 1985
Essays On The Theory Of Takeover Bids And Firm Behavior In Incomplete Markets written by Jean-François Dreyfus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Finance - Penn dissertations categories.
Financial Markets And Incomplete Information
DOWNLOAD
Author : Sudipto Bhattacharya
language : en
Publisher: Rowman & Littlefield Publishers
Release Date : 1989
Financial Markets And Incomplete Information written by Sudipto Bhattacharya and has been published by Rowman & Littlefield Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
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.
Essays On Pricing And Portfolio Choice In Incomplete Markets
DOWNLOAD
Author : Ti Zhou
language : en
Publisher:
Release Date : 2008
Essays On Pricing And Portfolio Choice In Incomplete Markets written by Ti Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Portfolio management categories.
This dissertation is a contribution to the pricing and portfolio choice theory in incomplete markets. It consists of three self-contained but interlinked essays. In the first essay, we present a utility-based methodology for the valuation and the risk management of mortgage-backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded pre-payment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools. In the second essay, using forward optimality criteria, we analyze a portfolio choice problem when the local risk tolerance is time-dependent and asymptotically linear in wealth. This class corresponds to a dynamic extension of the traditional (static) risk tolerances associated with the power, logarithmic and exponential utilities. We provide explicit solutions for the optimal investment strategies and wealth processes in an incomplete non-Markovian market with asset prices modelled as Ito processes. The methodology allows for measuring the investment performance in terms of a benchmark and alter-native market views. In the last essay, we extend the forward investment performance approach to study the optimal portfolio choice problem in an incomplete market driven by jump processes. The asset price is modelled by a one-dimensional Lévy-Itô process. We prove the existence of a forward performance process by restricting the local risk tolerance functions to be time-independent and linear in wealth. This yields only three types of performance measurement criteria, namely, exponential, power and logarithmic. The optimal portfolios are constructed via stochastic feedback controls under these criteria.
Economic Analysis Of Markets And Games
DOWNLOAD
Author : Partha Dasgupta
language : en
Publisher: MIT Press
Release Date : 1992
Economic Analysis Of Markets And Games written by Partha Dasgupta and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.
These original essays focus on a wide range of topics related to Frank Hahn'sdistinguished work in economics. Ranging from market analysis and game theory to the microeconomicfoundations of macroeconomics and from equilibrium and optimality with missing markets to economicsand society, they reflect the diversity of modem research in economic theory. What distinguishesHahn's work and many of the essays in this book is that the motivation often comes from practicalconcerns about unemployment, savings and investment, poverty, or the stability of markets.The essaysin Part I deal with the microeconomic foundations of macroeconomics - a field in which Hahn has madeimportant contributions, most notably in the theory of monetary economics. Topics include anevaluation of Hahn's contribution to the theory of distribution and such macroeconomic themes ascoordination failure, multiple equilibria, and strategic issues.Part II contains recentcontributions to game theory reflecting Hahn's interest in the question of what is rationalbehavior. The essays in Part III concentrate on general-equilibrium theory with missing markets, afield in which Hahn has made major advances. Although the essays address a different set of issues,they share with Hahn's works such themes as market failure, indeterminacy of equilibrium, and therole of money.Partha Dasgupta is Professor of Economics at Cambridge University. Douglas Gale isProfessor of Economics at Boston University. Oliver Hart is Professor of Economics at theMassachusetts Institute of Technology. Eric Maskin is Professor of Economics at HarvardUniversity.
Organization With Incomplete Information
DOWNLOAD
Author : Mukul Majumdar
language : en
Publisher: Cambridge University Press
Release Date : 1998-09-13
Organization With Incomplete Information written by Mukul Majumdar and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-09-13 with Business & Economics categories.
There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.