Securities market theory: possession, repo and rehypothecation

DOI10.1016/J.JET.2010.11.004MaRDI QIDQ413489zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Marc Bottazzi, Jaime Luque, Mário R. Páscoa

Publication date 7 May 2012

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://economicdynamics.org/meetpapers/2011/paper_1214.pdf

zbMATH Keywords

leveragecollateralreposhort saleissuingre-hypothecationrepo collateral multipliersecurity pricingspecialness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3547015 (Why is no real title available?)
• A Social Equilibrium Existence Theorem*
• Collateral Avoids Ponzi Schemes in Incomplete Markets
• Endogenous collateral
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Existence of equilibria with incomplete markets: The case of smooth returns
• Incomplete markets: transverse financial structures
• On the optimality of equilibrium when the market structure is incomplete
• Options and equilibrium
• Smooth Preferences
• The Structure of Financial Equilibrium with Exogenous Yields: The Case of Incomplete Markets

Cited in

(2)

• Introduction to general equilibrium
• Endogenous formation of security exchanges

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