We establish the existence of subgame perfect equilibria in general menu games, known to be sufficient to analyze common agency problems. Our main result states that every menu game satisfying enough continuity properties has a subgame perfect equilibrium. Despite the continuity assumptions that...

In this paper we study the asset pricing and individual optimality problem in a two period incomplete markets economy where default is allowed but there are utility penalties and collateral requirements.

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock...

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their...

In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA...

This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.

In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219-227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to...

The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential...

We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>