Theory Of Incomplete Markets
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Theory Of Incomplete Markets
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Author : Michael Magill
language : en
Publisher: MIT Press
Release Date : 2002
Theory Of Incomplete Markets written by Michael Magill and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
Theory Of Incomplete Markets
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Author : Michael Magill
language : en
Publisher:
Release Date : 1996
Theory Of Incomplete Markets written by Michael Magill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Differential Topology And General Equilibrium With Complete And Incomplete Markets
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Author : Antonio Villanacci
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-08-31
Differential Topology And General Equilibrium With Complete And Incomplete Markets written by Antonio Villanacci 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 2002-08-31 with Business & Economics categories.
Local uniqueness and smooth dependence of the endogenous variables from the exogenous ones are studied using a version of a so-called parametric transversality theorem. In a standard general equilibrium model, all equilibria are efficient, but that is not the case if some imperfection, like incomplete markets, asymmetric information, strategic interaction, is added. Then, for almost all economies, equilibria are inefficient, and an outside institution can Pareto improve upon the market outcome. Those results are proved showing that a well-chosen system of equations has no solutions."
Studies In The Theory Of Incomplete Markets
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Author :
language : en
Publisher:
Release Date : 1979
Studies In The Theory Of Incomplete Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with categories.
The Economics Of Continuous Time Finance
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Author : Bernard Dumas
language : en
Publisher: MIT Press
Release Date : 2017-10-27
The Economics Of Continuous Time Finance written by Bernard Dumas and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-27 with Business & Economics categories.
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.
Equilibrium And Disequilibrium In Economic Theory
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Author : G. Schwödiauer
language : en
Publisher: Springer Science & Business Media
Release Date : 1977-12-31
Equilibrium And Disequilibrium In Economic Theory written by G. Schwödiauer 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 1977-12-31 with Social Science categories.
This volume is the result of a conference held at the Institute for Advanced Studies, Vienna. There is still a gap reflected both in fundamental meth odological differences and in the style of analysis between the Walrasian (and Edgeworthian) tradition of general equilibrium theory and the theo retical and policy problems raised in the framework of Keynesian and post-Keynesian macroeconomics. The conference succeeded in bringing together economic theorists working in fields ranging from abstract prob lems of mathematical equilibrium analysis to applied macroeconomic theory, and it is hoped that the present volume will contribute to bridging the above-mentioned hiatus. As organizer of the meeting and editor of its proceedings I want to thank the Institute for Advanced Studies for providing facilities and funds. I am also sincerely grateful to all my colleagues from the Institute for their generous help, in particular to Mrs Monika Herkner without whose assistance and organizational talent the conference would certainly not have been the success it in fact - in the opinion of all participants - turned out to have been. Furthermore, I wish to express my gratitude towards all participants in the meeting and contributors to the volume whose patient support of the whole enterprise proved indispensable. To Mrs Elfriede Auracher I am deeply indebted for her skillful and effective general management of the editorial work and her invaluable assistance in compiling the indexes.
Mathematical Finance Bachelier Congress 2000
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Author : Helyette Geman
language : en
Publisher:
Release Date : 2014-09-01
Mathematical Finance Bachelier Congress 2000 written by Helyette Geman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-01 with categories.
The End Of Theory
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Author : Richard Bookstaber
language : en
Publisher: Princeton University Press
Release Date : 2019-04-02
The End Of Theory written by Richard Bookstaber and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-02 with Business & Economics categories.
An in-depth look at how to account for the human complexities at the heart of today’s financial system Our economy may have recovered from the Great Recession—but not our economics. The End of Theory discusses why the human condition and the radical uncertainty of our world renders the standard economic model—and the theory behind it—useless for dealing with financial crises. What model should replace it? None. At least not any version we’ve been using for the past two hundred years. Richard Bookstaber argues for a new approach called agent-based economics, one that takes as a starting point the fact that we are humans, not the optimizing automatons that standard economics assumes we are. Sweeping aside the historic failure of twentieth-century economics, The End of Theory offers a novel perspective and more realistic framework to help prevent today's financial system from blowing up again.
On The Theory Of Incomplete Markets
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Author : Yves Younès
language : en
Publisher:
Release Date : 1987
On The Theory Of Incomplete Markets written by Yves Younès and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.
Continuous Time Asset Pricing Theory
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Author : Robert A. Jarrow
language : en
Publisher: Springer
Release Date : 2018-06-04
Continuous Time Asset Pricing Theory written by Robert A. Jarrow and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-04 with Mathematics categories.
Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.