We study the pricing and hedging problem of a claim ψ whose payoff depends on the default times of two firms A and B. Thus, regarding the possible defaults of these two firms and assuming that, in the market, we can not buy or sell any defaultable bond of the firm B but only trade defaultable...

In this paper we study the rationing problems in using the issue of Nash implementation in an environment of single-crossing preferences. We show that strict monotonicity (i) implies strict weak no-veto power and unanimity and (ii) is equivalent to Maskin monotonicity, which is vacuously checked...

Playing a bargaining game, the players with non-conforming expectations were trying to enlarge their share of a sugar-pie. The first player, who was not very keen on sweets, placed an emphasis on quality. In contrast, for the second player, all sweet options, whatever they might be, were open....

We develop a new Taylor-based series that is applicable to non-differentiable functions.

An important class of control problems in economics are those in which the state equation switches (jumps) whenever the state variable crosses a threshold. An example is a life-cycle problem in which a household faces higher rates on borrowing than on lending, and therefore the interest rate on...

We present two simple situations in which SPE or NE fail to exist, even though intuition and the motivations for the definitions strongly suggest that they ought to. That is, nonexistence is due merely to technical barriers rather than fundamental barriers inherent in the structure of the...

We investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the...