In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward-backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the...

This paper addresses partly an open question raised in the Handbook of Mathematical Economics about the orientability of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a broad class of explicit asset structures, it is proved...

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic...

In this paper, we prove an existence theorem for approximated equilibria in a class of discontinuous economies. The existence result is a direct consequence of a discontinuous extension of Brouwer’s fixed point Theorem (1912), and is a refinement of several classical results in the standard...

The question of financing innovative small business is determinant in the current context. Giving the share that they represent in the market, they contribute to increase productivity of the economy. The problems of financing the SME’s are related to the almost intangible specificity of their...

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a...

The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...