A two price theory of financial equilibrium with risk management implications
From MaRDI portal
Publication:470603
DOI10.1007/s10436-012-0200-7zbMath1298.91205OpenAlexW3124189322MaRDI QIDQ470603
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-012-0200-7
Special types of economic equilibria (91B52) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Related Items (17)
Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Financial equilibrium with non-linear valuations ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Adapted hedging ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ Systemic risk tradeoffs and option prices ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ Two price economies in continuous time ⋮ TWO PROCESSES FOR TWO PRICES ⋮ Implied liquidity risk premia in option markets ⋮ Asset pricing theory for two price economies ⋮ Option overlay strategies ⋮ Hedging insurance books ⋮ Zero covariation returns ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ From credit valuation adjustments to credit capital commitments
Cites Work
- Unnamed Item
- Unnamed Item
- Maxmin expected utility with non-unique prior
- Structured products equilibria in conic two price markets
- Coherent Measures of Risk
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Continuous Auctions and Insider Trading
- Existence of an Equilibrium for a Competitive Economy
- Stochastic finance. An introduction in discrete time
- Coherent risk measures and good-deal bounds
This page was built for publication: A two price theory of financial equilibrium with risk management implications
