On securitization, market completion and equilibrium risk transfer
Year of publication: |
2010
|
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Authors: | Horst, Ulrich ; Pirvu, Traian A. ; Dos Reis, Gonçalo |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Securitization | Portfolio-Management | Unvollkommener Markt | Optionspreistheorie | Gleichgewicht | Theorie | Backward stochastic differential equations | dynamic risk measures | partial equilibrium | equilibrium pricing | market completion |
Series: | SFB 649 Discussion Paper ; 2010,010 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 623838362 [GVK] hdl:10419/39280 [Handle] |
Classification: | G12 - Asset Pricing ; D52 - Incomplete Markets ; C62 - Existence and Stability Conditions of Equilibrium ; C68 - Computable General Equilibrium Models |
Source: |
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