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 processes. In the more realistic context of partial information, the equilibrium analysis permits …

. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium …

. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium …

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that … so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently …’t be a question of dogma, but should be resolved empirically. There are situations where equilibrium models provide useful …

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 …

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 …

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

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 …