Showing 1 - 10 of 27
We present an approach to exchange rate control based on the reformulation of the exchange rate equation as a controlled backward stochastic differential equation. We obtain an explicit solution for the optimal managed flot monetary rule, which is shown to depend crucially on the expectations of...
Persistent link: https://www.econbiz.de/10005524083
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes...
Persistent link: https://www.econbiz.de/10004977438
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using subjective beliefs concerning the future states of the world and...
Persistent link: https://www.econbiz.de/10010900849
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence...
Persistent link: https://www.econbiz.de/10010578425
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using subjective beliefs concerning the future states of the world and...
Persistent link: https://www.econbiz.de/10009021666
We introduce spatial spillovers as an externality in the production function of competitive firms operating within a finite spatial domain under adjustment costs. Spillovers may attenuate with distance and the overall externality could contain positive and negative components with the overall...
Persistent link: https://www.econbiz.de/10010776909
We study rational expectations equilibrium problems and social optimum problems in infinite horizon spatial economies in the context of a Ramsey type capital accumulation problem with geographical spillovers. We identify sufficient local and global conditions for the emergence (or not) of...
Persistent link: https://www.econbiz.de/10010931615
We study rational expectations equilibrium problems and social optimum problems in infinite horizon spatial economies in the con- text of a Ramsey type capital accumulation problem with geographical spillovers. We identify sufficient local and global conditions for the emergence (or not) of...
Persistent link: https://www.econbiz.de/10010584494
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the minimization of a convex combination of their utility...
Persistent link: https://www.econbiz.de/10005083492
In this paper we introduce a coupled model for business cycles of a set of economies that consists of a possibly large number of individual economies. The possible dynamics are treated and phenomena like phase locking, resonance and localization are discussed.
Persistent link: https://www.econbiz.de/10005170125