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

option pricingequilibriumutility maximizationcomplete marketsinterest ratesasset pricingfinancial markets

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)

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

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