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generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on …
Persistent link: https://www.econbiz.de/10009581101
We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy Huang Kreps preferences, equilibrium price...
Persistent link: https://www.econbiz.de/10009612019
Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.
Persistent link: https://www.econbiz.de/10009612020
Updating behavior in cascade experiments is usually investigated on the basis of urn prediction. But urn predictions alone can only provide a very rough information on individual updating behavior. Therefore, we implement a BDM mechanism. Subjects have to submit maximum prices that they are...
Persistent link: https://www.econbiz.de/10009613603
risk …
Persistent link: https://www.econbiz.de/10009574876
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459
filtering theory ; enlargement of filtration ; canonical decomposition ; Sturm-Liouville equation ; Volterra kernels …
Persistent link: https://www.econbiz.de/10009578007
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026
Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We...
Persistent link: https://www.econbiz.de/10009578560
Persistent link: https://www.econbiz.de/10009578568