Risk minimization and optimal derivative design in a principal agent game
From MaRDI portal
Publication:841647
DOI10.1007/s11579-008-0012-8zbMath1177.91082arXiv0710.5512MaRDI QIDQ841647
Ulrich Horst, Santiago Moreno-Bromberg
Publication date: 18 September 2009
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.5512
91B70: Stochastic models in economics
60G35: Signal detection and filtering (aspects of stochastic processes)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Efficiency and equilibria in games of optimal derivative design, An algorithm for computing solutions of variational problems with global convexity constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Dual characterization of properties of risk measures on Orlicz hearts
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- A necessary and sufficient condition for rationalizability in a quasilinear context
- Monopoly and product quality
- An algorithm for computing solutions of variational problems with global convexity constraints
- Optimal derivatives design for mean-variance agents under adverse selection
- Inf-convolution of risk measures and optimal risk transfer
- Stochastic orders and risk measures: consistency and bounds
- Utility–indifference hedging and valuation via reaction–diffusion systems
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Law invariant risk measures have the Fatou property
- Ironing, Sweeping, and Multidimensional Screening
- Multiproduct Nonlinear Pricing
- On the Spanning Property of Risk Bonds Priced by Equilibrium
- PARTIAL EQUILIBRIUM AND MARKET COMPLETION
- Stochastic finance. An introduction in discrete time
- An interior point algorithm for computing saddle points of constrained continuous minimax
