PARTIAL EQUILIBRIUM AND MARKET COMPLETION
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Publication:5462703
DOI10.1142/S0219024905003098zbMath1139.91326MaRDI QIDQ5462703
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Publication date: 3 August 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic differential equationmarket equilibriumutility maximizationincomplete financial marketBMO martingalesexponential utilitypricing rulesmarket clearingbackwards stochastic differential equationclimate riskweather riskExternal risk
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Related Items (4)
Risk minimization and optimal derivative design in a principal agent game ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Convex pricing by a generalized entropy penalty ⋮ Optimal Cross Hedging of Insurance Derivatives
Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Continuous exponential martingales and BMO
- Stochastic time changes in catastrophe option pricing
- Indifference pricing of insurance contracts in a product space model: Applications
- Financial market innovation and security design: An introduction
- Equilibrium in a reinsurance market with short sale constraints
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Calculation of the high and low prices of options by means of completion of the market
- Backward Stochastic Differential Equations in Finance
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Exponential Hedging and Entropic Penalties
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