Showing 1 - 10 of 36
Persistent link: https://www.econbiz.de/10005613417
Persistent link: https://www.econbiz.de/10011763489
Persistent link: https://www.econbiz.de/10005396194
For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless shadow market that yields the same optimal strategy and utility. However, the question of whether or not this...
Persistent link: https://www.econbiz.de/10010847057
Given a Markovian Brownian martingale Z, we build a process X which is a martingale in its own filtration and satisfies X1=Z1. We call X a dynamic bridge, because its terminal value Z1 is not known in advance. We compute its semimartingale decomposition explicitly under both its own filtration...
Persistent link: https://www.econbiz.de/10008875125
We consider an equilibrium model à la Kyle–Back for a defaultable claim issued by a given firm. In such a market the insider observes continuously in time the value of the firm, which is unobservable by the market makers. Using the construction in Campi et al. (<ExternalRef>...</refsource></externalref>
Persistent link: https://www.econbiz.de/10010997065
We use equity as the traded primitive for a detailed analysis of systematic default risk. Default is parsimoniously represented by equity value hitting the zero barrier so that, unlike in reduced-form models, the explicit linkage to the firm's capital structure is preserved, but, unlike in...
Persistent link: https://www.econbiz.de/10005107088
Persistent link: https://www.econbiz.de/10005184368
Persistent link: https://www.econbiz.de/10009324933
The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the...
Persistent link: https://www.econbiz.de/10008468965