price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator … compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits …

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …

. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium …

class of market frictions. It is said to be viable as a model of economic equilibrium if there exist price-taking maximizing … the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed … the original equilibrium does not collapse when a new market opens, regardless of preferences and endowments. If the …

give conditions for equivalence between absence of arbitrage and existence of equilibrium. Lastly, we introduce the concept …In this paper we first prove an equilibrium existence theorem for finite dimensional economies with unbounded below … standard Negishi's approach. We next compare the different concepts of no-arbitrage that have been used in the literature and …

provide a necessary and sufficient condition on the match function for full disclosure to be the unique equilibrium outcome … always an equilibrium and a necessary and sufficient equilibrium condition is that all firm types earn at least the full …

absolute or relative utility levels. We show that such a process converges to the Nash equilibrium in a game of strategic …

This paper constructs a general equilibrium model of the interaction between financial intermediaries and financial …