The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more...

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

This paper defines and studies optimality in a dynamic stochastic economy with finitely lived agents, and investigates the optimality properties of an equilibrium with or without sequentially complete markets. Various Pareto optimality concepts are considered, including interim and ex ante...

This paper argues that mainstream economic the- ory, far from providing an indisputable plea in favor of shareholder value-maximization, o ers striking arguments showing quite the opposite: pro t maximization cannot be a legitimate prioritar- ian goal for private rms. This opens the door for a...

In three related papers, we consider a pure exchange financial economy, where agents may observe private information signals, form private anticipations and face an "exogenous uncertainty", on the future state, and an "endogenous uncertainty", on the future prices. At a sequential equilibrium,...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic...

Our earlier papers had extend to asymmetric information the classical existence theorems of general equilibrium theory, under the standard assumption that agents had perfect foresights, that is, they knew, ex ante, which price would prevail on each spot market. Common observation suggests,...

Our earlier papers had extended to asymmetric information some classical existence theorems of general equilibrium theory, under the standard assumption that agents had perfect foresights, that is, they knew at the outset which price would prevail tomorrow on each spot market. Yet, observation...

We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent's portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained...

This paper proves the existence of a pseudo-equilibrium in a financial economy with incomplete markets in which the agents may have nonordered preferences. We will use a fixed-point-like theorem of Bich and Cornet that generalizes the results by Hirsch, Magill, Mas-Colell [18] and Husseini,...