Financial markets in continuous time. Translated from the French by Anna Kennedy

MaRDI QIDQ1852969zbMATH OpenFDO

Authors R. A. Dana, Monique Jeanblanc

Publication date 21 January 2003

Published in Springer Finance (Search for Journal in Brave)

zbMATH Keywords

asset pricingcomplete marketsequilibriumfinancial marketsinterest ratesoption pricingutility maximization

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) General equilibrium theory (91B50) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx)

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Cited in

(19)

• On the expected diameter of an \(L_{2}\)-bounded martingale
• Variational formulation of a general equilibrium model with incomplete financial markets and numeraire assets: existence
• How to determine exchange rates under risk neutrality: a note
• The completeness and incompleteness of financial markets in economies driven by diffusion processes
• Taylor approximation of incomplete Radner equilibrium models
• Optimal stopping problem associated with jump-diffusion processes
• Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets
• Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
• Existence of financial equilibria in continuous time with potentially complete markets
• scientific article; zbMATH DE number 50702 (Why is no real title available?)
• Approximation of non-Lipschitz SDEs by Picard iterations
• Multi-firm voluntary disclosures for correlated operations
• Existence of an endogenously complete equilibrium driven by a diffusion
• scientific article; zbMATH DE number 1393004 (Why is no real title available?)
• The role of (quasi) analyticity in establishing completeness of financial markets equilibria
• The sound of silence: equilibrium filtering and optimal censoring in financial markets
• Dynamic equilibrium with insider information and general uninformed agent utility
• Allocation of risks and equilibrium in markets with finitely many traders
• Optimal investment under partial information

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