Individuals exchange contracts for the delivery of commodities in competitive markets and, simultaneously, act strategically; actions affect utilities across individuals directly or through the payoffs of contracts. This encompasses economies with asymmetric information, Nash-Walras equilibria...

This paper offers an option pricing framework grouded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps.

The paper constructs a theoretical framework in which the value of information in general equilibrium can be linked to the efficiency of the risk sharing mechanism. We demonstrate that in economies with production, information may have negative value even though no risk sharing markets exist. As...

Comparative statics in an Arrow-Radner incomplete market equilibrium model shows that some insights on agents' risk perception can be inferred from market prices. We call "precautionary savings" those savings which are invested in some riskless asset. The results are: precautionary savings...

In this paper we exploit global analysis to explore welfare properties of a standard one-commodity GEI, under different notions of constrained Pareto optimality. In a unifying framework we revise and extend some of the leading results of the literature on incomplete markets and government...

In this paper we investigate the welfare effect of capital income taxation in a standard one commodity general equilibrium model with incomplete markets (GEI) and production. We consider a competitive economy of two periods with uncertainty over a finite number S of possible states of nature...

I construct and analyse an example of an economy with production and money under conditions of uncertainty, assymetric information, and an incomplete asset market. For alternative scenarios, which differ in the information available to consumers and firms, I compute the equilibrium prices and...

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variations of the stock price. The stock price follows a marked point process and the market is incomplete.