On securitization, market completion and equilibrium risk transfer
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Publication:1932526
DOI10.1007/s11579-010-0022-1zbMath1255.91401OpenAlexW2129761952MaRDI QIDQ1932526
Gonçalo dos Reis, Ulrich Horst, Traian A. Pirvu
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-010.pdf
backward stochastic differential equationsdynamic risk measuresequilibrium pricingpartial equilibriummarket completion
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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