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Comparative Statics, English Auctions, and the Stolper-Samuelson Theorem
Echenique, Federico; Manelli, Alejandro - EconWPA - 2003
Changes in the parameters of an $n$-dimensional system of equations induce changes in its solutions. For a class of such systems, we determine the qualitative change in solutions given certain qualitative changes in parameters. Our methods and results are elementary yet useful. They highlight...
Persistent link: https://www.econbiz.de/10005556738
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Computing Equilibria in Finance Economies
Herings, P.J.J.; Kubler, F. - EconWPA - 2001
Persistent link: https://www.econbiz.de/10005125623
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Utility based pricing of contingent claims
Gamba, A.; Pellizzari, P. - EconWPA - 1999
In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the...
Persistent link: https://www.econbiz.de/10005413221
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Correspondences of probability measures with restricted marginals revisited
Zarichnyi, M. - EconWPA - 2002
We reprove a result of J. Bergin on the continuity of the correspondences of probability measures on a product space with restricted marginals. The proof is based on some functorial properties of probability measures. It works also for arbitrary number of coordinate spaces and for non-metrizable...
Persistent link: https://www.econbiz.de/10005062741
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Comparative Statics with Never Increasing Correspondences
Roy, Sunanda; Sabarwal, Tarun - EconWPA - 2005
This paper studies models where the correspondences (or functions) under consideration are never increasing (or weakly decreasing) in endogenous variables, and weakly increasing in exogenous parameters. Such models include games of strategic substitutes, and include cases where additionally,...
Persistent link: https://www.econbiz.de/10005407559
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Long Range Interaction Generating Fat-Tails in Finance
Airoldi, Marco; Antonelli, Vito; Bassetti, Bruno; … - EconWPA - 2004
It's commonly known that the correlation between stocks increases during market turbulent periods. In this work we propose a modellization of this feature, viewed as a collective effect, rearranging a toy-model first proposed in 2001. Equities are modelled as quasi random walk variables, where...
Persistent link: https://www.econbiz.de/10005556701
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Designing Electricity Auctions
Fabra, Natalia; Fehr, Nils-Henrik von der; Harbord, David - EconWPA - 2002
Motivated by the new auction format introduced in the England and Wales electricity market, as well as the recent … debate in California, we characterize bidding behavior and market outcomes in uniform and discriminatory electricity auctions … the analysis of electricity auctions. In particular, we show that analogies with continuous share auctions are misplaced …
Persistent link: https://www.econbiz.de/10005135073
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China and the Geopolitics of Oil in the Asian Pacific Region
Bustelo, Pablo - EconWPA - 2005
China’s growing demand for oil is significantly changing the international geopolitics of energy, especially in the Asian Pacific region. The recent growth in oil consumption, combined with forecasts of increased oil imports (especially from the Middle East), have led to deep concern among...
Persistent link: https://www.econbiz.de/10005118931
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Measuring Financial Cash Flow and Term Structure Dynamics
LOS, CORNELIS A. - EconWPA - 2004
Financial turbulence is a phenomenon occurring in anti - persistent markets. In contrast, financial crises occur in persistent markets. A relationship can be established between these two extreme phenomena of long term market dependence and the older financial concept of financial...
Persistent link: https://www.econbiz.de/10005413223
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Stochastic programming in energy
Wallace, Stein W.; Fleten, Stein-Erik - EconWPA - 2002
models deal with electricity investments and operations, but some oil and gas applications are also presented. We consider …
Persistent link: https://www.econbiz.de/10005125661