This work consists of two parts. In the first one, we study a model where the assets are investment opportunities, which are completely described by their cash-flows. Those cash-flows follow some binomial processes and have the following property called stationarity: it is possible to initiate...

In this paper we consider a family of investment project defined by their deterministic cash flows. We assume stationarity - that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to the...

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge...

This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility function $U$ is considered, with domain of definition...

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge...

We consider the problem of credit allocation in a regime-switching model. The global evolution of the credit market is driven by a benchmark, the drift of which is given by a two-state continuous-time hidden Markov chain. We apply filtering techniques to obtain the diffusion of the credit assets...

We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of...