The role of (quasi) analyticity in establishing completeness of financial markets equilibria

DOI10.1007/978-3-319-93809-7_11MaRDI QIDQ5111107zbMATH OpenOpenAlexFDO

Authors Yakar Kannai, Roberto C. Raimondo

Publication date 26 May 2020

Published in Studies in Economic Design (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-93809-7_11

zbMATH Keywords

continuous-time securities marketfinancial markets equilibria

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Recommendations

• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
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Cites work

• scientific article; zbMATH DE number 47968 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Endogenous completeness of diffusion driven equilibrium markets
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Existence and Uniqueness of Equilibria When Preferences are Additively Separable
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Existence of financial equilibria in continuous time with potentially complete markets
• Financial markets in continuous time. Translated from the French by Anna Kennedy
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Quasi-analytic solutions of linear parabolic equations
• Resolution of singularities in Denjoy-Carleman classes
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• WELFARE ECONOMICS AND EXISTENCE OF AN EQUILIBRIUM FOR A COMPETITIVE ECONOMY

Cited in

(2)

• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Completeness of securities market models -- an operator point of view

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