Showing 1 - 10 of 12
An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...
Persistent link: https://www.econbiz.de/10009486965
We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise...
Persistent link: https://www.econbiz.de/10008532557
Persistent link: https://www.econbiz.de/10003716260
Persistent link: https://www.econbiz.de/10011944480
Persistent link: https://www.econbiz.de/10011945638
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...
Persistent link: https://www.econbiz.de/10010310201
Persistent link: https://www.econbiz.de/10001509224
Persistent link: https://www.econbiz.de/10001724639
An equivalent sigma-martingale measure (EsigmaMM) for a given stochastic process S is a probability measure R equivalent to the original measure P such that S is an R-sigma-martingale. Existence of an EsigmaMM is equivalent to a classical absence-of-arbitrage property of S, and is invariant if...
Persistent link: https://www.econbiz.de/10009558691
A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are...
Persistent link: https://www.econbiz.de/10011412336