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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

Equilibrium Theory with Link Portfolios

Won, Dong Chul - 2012

Portfolio constraints often prevent financial derivatives from being synthetically created by primitive assets and thus, open a way for the 'redundant' assets to participate in expanding risk-sharing opportunities. They bring about peculiar portfolios, called 'link portfolios,' at an aggregate...

Persistent link: https://www.econbiz.de/10013101179

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

Financial Innovation, Collateral and Investment

Fostel, Ana - 2015

Financial innovations that change how promises are collateralized can affect investment, even in the absence of any change in fundamentals. In C-models, the ability to leverage an asset always generates over-investment compared to Arrow Debreu. The introduction of CDS always leads to...

Persistent link: https://www.econbiz.de/10013026735

Financial Innovation, Collateral and Investment

Fostel, Ana - 2013

We show that financial innovations that change the collateral capacity of assets in the economy can affect investment even in the absence of any shift in utilities, productivity, or asset payoffs. First we show that the ability to leverage an asset by selling non-contingent promises can generate...

Persistent link: https://www.econbiz.de/10013078367

Competitive Equilibrium with Incomplete Financial Markets

Cass (deceased), David - 2006

This is my classic paper, written in early 1984, concerning existence and optimality in general financial equilibrium with incomplete markets for nominal assets, just now being published in a special issue of the Journal of Mathematical Economics

Persistent link: https://www.econbiz.de/10014057697

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...

Persistent link: https://www.econbiz.de/10009379444

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

A computational study on general equilibrium pricing of derivative securities

Thijssen, Jacco J. J. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003481715

A computational study on general equilibrium pricing of derivative securities

Thijssen, Jacco J. J. - In: Annals of finance 4 (2008) 4, pp. 505-523

Persistent link: https://www.econbiz.de/10003737208