Our earlier papers [2,3,4,5,6] had extended to asymmetric information the classical existence theorems of general equilibrium theory [1,7,10], under the standard assumption that agents had perfect foresights, that is they knew, ex ante, which price would prevail on each spot market. Common...

In a multi-period, multi-commodity economy with stock markets, we try to extend the work of Drèze (1974) to define the behaviour of the firms. We exhibit first order necessary conditions for a constrained Pareto optimal allocation. The financial constraints lead to non-collinear supporting spot...

On the example of a pure-exchange financial economy with two periods, incomplete nominal-asset markets and differential information of the adverse selection's type, Cornet-De Boisdeffre (2002) introduced refined concepts of no-arbitrage prices and equilibria, which extended to the asymmetric...

The paper extends the Drèze's Criterion [Investment under private ownership : optimality, equilibrium and stability, in «Allocation under Uncertainty ; Equilibrium and Optimality», Wiley, New York, 1974, p.129] for firms to non-smooth and non-convex technologies and to non-ordered preferences...

The problem of fair pricing of contingent claims is well understood in the context of an arbitrage free, complete financial market, with perfect information. But in the more realistic context of an incomplete market with imperfect information, the arbitrage approach does not enable us to aobtain...

We analyze the joint convergence of sequenes of discounted stock prices and Radon-Nycodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general...

Se analiza la regulación tarifaria óptima de un monopolista que enfrenta una restricción de servicio universal obligatoria efectiva en el sentido que no es posible diseñar una tarifa en dos partes no discriminatoria que satisfaga simultáneamente la restricción de autofinanciamiento del...

The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options. The author examines the performance of static and dynamic replication. He considers the case of a...

We believe that group-lending institutions have incentives to include members outside the target-group of poor households. This implies a methodological problem that is rarely taken into account in empirical studies. We apply a general household survey, and find some evidence of non-poor...

In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized...