Asset pricing theory for two price economies

DOI10.1007/S10436-014-0255-8zbMATH Open1311.91107OpenAlexW1998057132MaRDI QIDQ2018556FDOQ2018556

Authors: Dilip B. Madan 

Publication date: 24 March 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-014-0255-8

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zbMATH Keywords

acceptable risksdistorted expectationscliquetsdebt valuation adjustmentsmulti-curve discounting

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• Backward Stochastic Differential Equations in Finance
• The Variance Gamma Process and Option Pricing
• Stochastic finance. An introduction in discrete time
• Asset pricing for general processes
• Martingales and arbitage in securities markets with transaction costs
• Conditional and dynamic convex risk measures
• The mathematics of arbitrage
• A new fusion procedure for the Brauer algebra and evaluation homomorphisms.
• Markets as a counterparty: an introduction to conic finance
• Convex risk measures and the dynamics of their penalty functions
• Two price economies in continuous time
• Dynamic monetary risk measures for bounded discrete-time processes
• Martingales and stochastic integrals in the theory of continuous trading
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• Modern LIBOR market models: using different curves for projecting rates and for discounting
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Arbitrage and equilibrium in economies with infinitely many commodities
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Time consistent dynamic risk processes
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Inf-convolution of risk measures and optimal risk transfer
• Uniqueness of supporting hyperplanes and an alternative to solutions of variational inequalities
• Tenor specific pricing
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• The fundamental theorem of asset pricing under transaction costs
• A general theory of finite state backward stochastic difference equations
• The Kreps--Yan theorem for \(L^\infty\)
• A two price theory of financial equilibrium with risk management implications
• Credit Standing and the Fair Value of Liabilities

Cited In (27)

• Optimal investment and contingent claim valuation in illiquid markets
• Two price economies in continuous time
• Implied liquidity risk premia in option markets
• Nonlinear expectations of random sets
• Adapted hedging
• Conic asset pricing and the costs of price fluctuations
• Option overlay strategies
• Measuring and monitoring the efficiency of markets
• Benchmarking in two price financial markets
• Dynamic conic hedging for competitiveness
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Instantaneous portfolio theory
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• A two price theory of financial equilibrium with risk management implications
• Nonlinear equity valuation using conic finance and its regulatory implications
• Lower and upper pricing of financial assets
• Pricing options on mean reverting underliers
• Tenor specific pricing
• Measure distorted arrival rate risks and their rewards
• Zero covariation returns
• Hedging insurance books
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
• High dimensional Markovian trading of a single stock
• Pricing American options by a Fourier transform multinomial tree in a conic market
• Prospect theory and asset prices
• Financial equilibrium with non-linear valuations
• Two price economic equilibria and financial market bid/ask prices

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