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Recursive equilibrium in Krusell and Smith (1998)
Cao, Dan Vu - 2018
This paper uses the tools developed in the literature on dynamically incomplete markets with finite agents to study the large economy with a continuum of agents and both aggregate and idiosyncratic shocks in Krusell and Smith (1998). It establishes the existence of sequential competitive...
Persistent link: https://www.econbiz.de/10011919029
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Approximating equilibria with ex-post heterogeneity and aggregate risk
Pröhl, Elisabeth - 2017
Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...
Persistent link: https://www.econbiz.de/10011875645
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Stable Contractual Allocations, Equilibria and Core in Incomplete Markets
Marakulin, Valeriy M. - 2020
The paper presents and studies a new concept of coalition domination for incomplete markets. It was elaborated applying a contractual approach and based on the notion of fuzzy contractual allocation, see Marakulin (2011, 2013). Core allocations are implemented by the net trades (webs of...
Persistent link: https://www.econbiz.de/10012842642
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Risky arbitrage and collateral policies
Zhang, Ally Quan - 2017 - Last Update: October 6, 2017
. Intermediaries make arbitrage profits by exploiting the price spreads across markets. Meanwhile, they are required to separately post … collateral to support arbitrage trades. We show that with volatile asset demands, arbitrage becomes risky. With information …
Persistent link: https://www.econbiz.de/10011874838
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Arbitrage with financial constraints and market power
Fardeau, Vincent - 2022
Persistent link: https://www.econbiz.de/10013256022
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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208
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Asset pricing in an imperfect world
Cassese, Gianluca - In: Economic theory : official journal of the Society for … 64 (2017) 3, pp. 539-570
Persistent link: https://www.econbiz.de/10011740670
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Generalized stochastic arbitrage opportunities
Arvanitis, Stelios; Post, Thierry - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4629-4648
Persistent link: https://www.econbiz.de/10015046365
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Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Tavin, Bertrand - 2017
In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …
Persistent link: https://www.econbiz.de/10012975101
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Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Tavin, Bertrand - 2016
In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …
Persistent link: https://www.econbiz.de/10013008086