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Hedging and pricing in imperfect markets under non-convexity
Assa, Hirbod; Gospodinov, Nikolaj - 2014
This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …
Persistent link: https://www.econbiz.de/10010395974
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Liquidity models in continuous and discrete time
Gökay, Selim; Roch, Alexandre F.; Soner, Halil Mete - 2010
, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …
Persistent link: https://www.econbiz.de/10008798305
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Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets
Li, Chenxu; Scaillet, Olivier; Shen, Yiwen - 2020
This paper provides a novel five-component decomposition of optimal dynamic portfolio choice. It reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. The decomposition leads to implementation via either closed-form solutions or Monte Carlo simulations. With...
Persistent link: https://www.econbiz.de/10012219152
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...
Persistent link: https://www.econbiz.de/10008746123
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Optimal monetary policy in a small open economy with financial frictions
Merola, Rossana - 2010
I analyze how the introduction of financial frictions can affect the trade-off between output stabilization and inflation stability and whether, in the presence of financial frictions, the optimal outcome can be realized or approached more closely if monetary policy is allowed to react to...
Persistent link: https://www.econbiz.de/10003930865
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Institutions and structural unemployment : do capital-market imperfections matter?
Belke, Ansgar; Fehn, Rainer - 2001
This paper analyzes whether differences in institutional structures on capital markets contribute to explaining why some OECD-countries, in particular the Anglo-Saxon countries, have been much more successful over the last two decades in producing employment growth and in reducing unemployment...
Persistent link: https://www.econbiz.de/10011398923
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The intended and unintended consequences of financial-market regulations : a general equilibrium analysis
Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - 2016
In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as...
Persistent link: https://www.econbiz.de/10011436064
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Public versus private provision of liquidity : is there a trade-off ; conference paper
Röhrs, Sigrid; Winter, Christoph - 2014
Many researchers have recommended to increase public debt in the aftermath of the financial crisis in order to relax borrowing constraints for private households. This advice is based on the common assumption that borrowing conditions of private agents are exogenous to public policy. We study...
Persistent link: https://www.econbiz.de/10010484762
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Consumer default with complete markets : default-based pricing and finite punishment
Mateos-Planas, Xavier; Seccia, Giulio - 2013
This paper studies economies with complete markets where there is positive default on consumer debt. In a simple tractable two-period model, households can default partially, at a finite punishment cost, and competitive intermediaries price loans of different sizes separately. This environment...
Persistent link: https://www.econbiz.de/10010210815
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Leveraged property cycles
Jaccard, Ivan - 2021
This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the...
Persistent link: https://www.econbiz.de/10012503550