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The Virtues and Vices of Equilibrium and the Future of Financial Economics

Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2008

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...

Persistent link: https://www.econbiz.de/10004976721

Hedging for the Long Run

Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008

fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …

Persistent link: https://www.econbiz.de/10004984487

Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee

Carassus, L.; Jouini, E. - Centre de recherche de mathématiques et économie … - 1997

resultat d'absence d'arbitrage. Puis, nous l'appliquons afin de retrouver les resultats deja connus sur les couts de …

Persistent link: https://www.econbiz.de/10005630759

Arbitrage pricing and equilibrium pricing : compatibility conditions.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

Persistent link: https://www.econbiz.de/10008832173

Arbitrage pricing and equilibrium pricing : compatibility conditions

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

Persistent link: https://www.econbiz.de/10010707894

A Unifying Approach to Asset Pricing

Platen, Eckhard - Finance Discipline Group, Business School - 2008

paper explains that pricing by classical no-arbitrage arguments is, in general, not unique and may lead to overpricing. In …

Persistent link: https://www.econbiz.de/10004984601

Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - University of Bonn, Germany - 1998

possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us … to defining the concept of pseudo--arbitrage. Building on this concept we are able to extend the no--arbitrage idea to a …

Persistent link: https://www.econbiz.de/10004968199

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - University of Bonn, Germany - 1995

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we provide a unified and easily applicable approach to pricing...

Persistent link: https://www.econbiz.de/10004968300

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

Persistent link: https://www.econbiz.de/10010799319

Non-parametric Tests for the Martingale Restriction: A New Approach

Guo, Biao; Han, Qian; Ryu, Doojin - 2013

differences between the option-implied and market observed prices. Our results strongly suggest that there exist arbitrage …

Persistent link: https://www.econbiz.de/10010892140