Equilibrium and Arbitrage in Incomplete Asset Markets with Fixed Prices PDF Download
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Author: Peter Jan Jacob Herings
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Peter Jan Jacob Herings
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Dong Chul Won
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Market frictions create portfolios of complicated nature, constrained zero-income portfolios. They generate no income in the future contingencies but matter to risk sharing whether they are mispriced or not. The no arbitrage conditions of the literature may not be qualified for equilibrium conditions in the presence of constrained zero-income portfolios. Thus 'pricing by arbitrage' is far from completely characterizing asset pricing relations. The purpose of this paper is to provide a unified treatment of both asset pricing and equilibrium when asset markets are subject to portfolio constraints. In particular, 'projective arbitrage' is proposed to examine both asset pricing and the existence of equilibrium under portfolio constraints. To formulate the effect of constrained zero-income portfolios on asset pricing and equilibrium, we introduce the local and global laws of one price as an extension of the law of one price to the case with portfolio constraints. The global law of one price is identified as 'pricing by projective arbitrage.' Moreover, the global law of one price provides an important criterion for judging the capability of various notions of arbitrage to characterize equilibrium asset prices under portfolio constraints. The traditional approach to general equilibrium with incomplete markets breaks down in the face of market frictions simply because the law of one price fails.
Author: Thorsten Hens
Publisher: Springer Science & Business Media
ISBN: 9781402073373
Category : Business & Economics
Languages : en
Pages : 336
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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.
Author: Pablo Koch-Medina
Publisher: Springer Nature
ISBN: 3030397246
Category : Mathematics
Languages : en
Pages : 448
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Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
Author: Michael Magill
Publisher: MIT Press
ISBN: 9780262632546
Category : Business & Economics
Languages : en
Pages : 566
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Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 30
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Author: Puneet Handa
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 52
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Author: Graciela Chichilnisky
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 22
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Author: Peter Henry Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Author: Alejandro Hernández
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 42
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