MARKET FORCES AND DYNAMIC ASSET PRICING

DOI10.1081/SAP-120014553MaRDI QIDQ4797323zbMATH OpenFDO

Authors Goran Peskir, Jamsheed Shorish

Publication date 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motionoptimal stochastic controlasset pricinginertial frame of referencemarket forcesfinancial market microstructureaccelerated frame of referenceNewton's laws of mechanicsspecialist-investor equilibrium

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Brownian motion (60J65) Stochastic games, stochastic differential games (91A15) Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3265711 (Why is no real title available?)
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Dynamic equilibrium and volatility in financial asset markets
• Optimum consumption and portfolio rules in a continuous-time model
• Processes of normal inverse Gaussian type
• The Brownian movement and stochastic equations
• The Consumption-Based Capital Asset Pricing Model
• The pricing of options and corporate liabilities

Cited in

(5)

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
• scientific article; zbMATH DE number 5130804 (Why is no real title available?)
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Dynamics of Markets

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