Equilibrium allocations in models with incomplete markets are generally not Pareto-efficient, but some argue that the welfare losses from missing assets are small when time-horizons are long, agents are patient, and shocks are transitory. We show that even in the simplest infinite horizon model...

Asset markets are usually incomplete. Security exchanges often introduce derivative securities which partially complete the market. The marketmakers make profits through a bid-ask spread. We use computational methods to determine the profit-maximizing choice of options for a marketmaker and...

There are many numerical algorithms to solve any problem. It is often difficult to compare competing algorithms since authors demonstrate their algorithms on different problems. In the numerical analysis literature, the typical approach to compare alternative algorithms is to develop a suite of...

Computing equilibrium in markets with incomplete asset spanning is difficult to do in general. In real markets the amount of uncertainty which occurs between trading periods is relatively small. We use bifurcation methods to derive Taylor series expansions which are asymptotically valid...