Essays on the Theory of Incomplete Markets PDF Download

Author: Atsushi Kajii
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 272

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Author: Kenneth Joseph Arrow
Publisher: Cambridge University Press
ISBN: 9780521553551
Category : Business & Economics
Languages : en
Pages : 412

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Leading theorists offer insights on the role of uncertainty and information in the market.

Author: Martín Gonzalez-Eiras
Publisher:
ISBN:
Category :
Languages : en
Pages : 240

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Author: Michael Magill
Publisher: MIT Press
ISBN: 9780262632546
Category : Business & Economics
Languages : en
Pages : 566

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Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.

Author: Roberto Raimondo
Publisher:
ISBN:
Category :
Languages : en
Pages : 134

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Author: Partha Dasgupta
Publisher: MIT Press
ISBN: 9780262041270
Category : Business & Economics
Languages : en
Pages : 666

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These original essays focus on a wide range of topics related to Frank Hahn'sdistinguished work in economics. Ranging from market analysis and game theory to the microeconomicfoundations of macroeconomics and from equilibrium and optimality with missing markets to economicsand society, they reflect the diversity of modem research in economic theory. What distinguishesHahn's work and many of the essays in this book is that the motivation often comes from practicalconcerns about unemployment, savings and investment, poverty, or the stability of markets.The essaysin Part I deal with the microeconomic foundations of macroeconomics - a field in which Hahn has madeimportant contributions, most notably in the theory of monetary economics. Topics include anevaluation of Hahn's contribution to the theory of distribution and such macroeconomic themes ascoordination failure, multiple equilibria, and strategic issues.Part II contains recentcontributions to game theory reflecting Hahn's interest in the question of what is rationalbehavior. The essays in Part III concentrate on general-equilibrium theory with missing markets, afield in which Hahn has made major advances. Although the essays address a different set of issues,they share with Hahn's works such themes as market failure, indeterminacy of equilibrium, and therole of money.Partha Dasgupta is Professor of Economics at Cambridge University. Douglas Gale isProfessor of Economics at Boston University. Oliver Hart is Professor of Economics at theMassachusetts Institute of Technology. Eric Maskin is Professor of Economics at HarvardUniversity.

Author: Alessandro Citanna
Publisher: Springer Science & Business Media
ISBN: 3540271929
Category : Business & Economics
Languages : en
Pages : 278

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In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.

Author: Nathanael David Ringer
Publisher:
ISBN:
Category :
Languages : en
Pages : 146

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Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor's utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed.

Author: Mukul Majumdar
Publisher: Cambridge University Press
ISBN: 9780521553001
Category : Business & Economics
Languages : en
Pages : 372

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There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.

Author: Jean-François Dreyfus
Publisher:
ISBN:
Category : Finance - Penn dissertations
Languages : en
Pages : 212

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