Endogenous collateral
From MaRDI portal
Publication:2387402
DOI10.1016/j.jmateco.2004.11.001zbMath1106.91041MaRDI QIDQ2387402
José Fajardo, Aloisio Pessoa de Araujo, Mario Rui Pascoa
Publication date: 2 September 2005
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2004.11.001
91B26: Auctions, bargaining, bidding and selling, and other market models
91B50: General equilibrium theory
Related Items
Fiat money and the value of binding portfolio constraints, Statistical arbitrage with default and collateral, Collateral premia and risk sharing under limited commitment, The fundamental theorem of asset pricing under default and collateral in finite discrete time, A note on arbitrage and exogenous collateral
Cites Work
- Hedging contingent claims with constrained portfolios
- Incomplete markets, continuum of states and default
- Equilibrium with Default and Endogenous Collateral
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Equivalence in nonlinear programming
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