price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

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 … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

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 … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

. Our analysis rests on a general equilibrium model with multiple assets and restricted investor participation. Strategic …

its relationship with the usual proxies. The model on which the welfare analysis rests is an equilibrium model with …

trading venues. Our analysis rests on a general equilibrium model with segmented markets. Arbitrageurs reap profits by …

class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing … the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed … the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the …

class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing … the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed … the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the …