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Financial innovation, market participation and asset prices

Calvet, Laurent E. (contributor); … - 2001 - [Elektronische Ressource], This draft: August 2011

This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....

Persistent link: https://www.econbiz.de/10001611814

Studies in complex financial instruments and their valuation

Ekvall, Niklas - 1993

Persistent link: https://www.econbiz.de/10000860118

Do forward markets enhance competition? : experimental evidence

Le Coq, Chloé (contributor); Orzen, Henrik (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2004

Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that duopolists can also have a strategic motive to sell forward, irrespective of exogenous uncertainties. Moreover, in their model the possibility of forward trading increases...

Persistent link: https://www.econbiz.de/10001693096

Long-term supply contracts and collusion in the electricity market

Le Coq, Chloé (contributor) - 2004 - [Elektronische Ressource], First draft: May 2003, This draft: February 2004

It has been argued that having a contract market before the spot market enhances competition (Allaz and Vila, 1993 … contract markets reduces the market power of generators. In particular, we investigate the sensitivity of this result with … contract markets help sustain collusion on the spot market. -- Contract market ; Electricity ; Spot Market ; Forward ; Tacit …

Persistent link: https://www.econbiz.de/10001923038

Finite dimensional realizations of forward price term structure models

Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]

In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, Q, consists of two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest...

Persistent link: https://www.econbiz.de/10002450616

A new approach to the derivation of asset price bounds

Rodríguez Longarela, Iñaki (contributor) - 2001 - [Elektronische Ressource], Rev. October 19, 2001

In a two-period setup we develop a generalization of good-deal bounds that allows to include in the problem the implications of asset pricing models. Our basis is the distance behind Hansen and Jagannathan's measure of model misspecification since a volatility constraint on the stochastic...

Persistent link: https://www.econbiz.de/10001600073