الصفحة 1
الصفحة 1
Institutions, Equilibria and Efficiency: Essays in Honor of Birgit Grodal
Competition and efficiency is at the core of economic theory. This volume collects papers of leading scholars, which extend the conventional general equilibrium model in important ways: Efficiency and price regulation are studied when markets are incomplete and existence of equilibria in such settings is proven under very general preference assumptions. The model is extended to include geographical location choice, a commodity space incorporating manufacturing imprecision and preferences for club-membership, schools and firms.
Financial Markets in Continuous Time
In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has four parts.
Essays in Dynamic General Equilibrium Theory: Festschrift for David Cass
This collection of essays including the study of dynamic general equilibrium, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete.
Dynamic Asset Allocation with Forwards and Futures
DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets, and what major theoretical and practical differences distinguish futures from forward contracts. The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when such an equilibrium is required and the tools of continuous time finance, namely martingale theory and stochastic dynamic programming. The scope of DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is essentially theoretical, with emphasis on economic meaning and financial interpretation. Regarding investment and/or hedging, focus is on optimal strategies rather than on actual practice. Simulations, however, are performed when important insights can be delivered as to the practical relevance of some theoretical results. Also, optimal strategies using futures are shown to differ markedly from those using forwards. The following issues are examined: pure hedging, investment and hedging in complete or incomplete markets, currency risk, optimal spreading, presence of stochastic dividend or convenience yields, pricing of non-redundant futures or forwards by means of general equilibrium analysis, and revisiting of existing Capital Asset Pricing Models.
Mathematical Control Theory and Finance
This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from "pure" areas of mathematics up to applied sciences like finance. Stochastic optimal control is a well established and important tool of mathematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified in recent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume a valuable resource for advanced students and researchers.
Malliavin Calculus for Lévy Processes with Applications to Finance
While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems.
