PARTIAL EQUILIBRIUM AND MARKET COMPLETION

DOI10.1142/S0219024905003098zbMath1139.91326MaRDI QIDQ5462703

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Publication date: 3 August 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationmarket equilibriumutility maximizationincomplete financial marketBMO martingalesexponential utilitypricing rulesmarket clearingbackwards stochastic differential equationclimate riskweather riskExternal risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic integral equations (60H20)

Related Items (4)

Risk minimization and optimal derivative design in a principal agent game ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Convex pricing by a generalized entropy penalty ⋮ Optimal Cross Hedging of Insurance Derivatives

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Continuous exponential martingales and BMO
• Stochastic time changes in catastrophe option pricing
• Indifference pricing of insurance contracts in a product space model: Applications
• Financial market innovation and security design: An introduction
• Equilibrium in a reinsurance market with short sale constraints
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Calculation of the high and low prices of options by means of completion of the market
• Backward Stochastic Differential Equations in Finance
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Exponential Hedging and Entropic Penalties

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