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precision equilibrium payoffs and Nash equilibria of otherwise very challenging problems, and even some which go beyond the …
Persistent link: https://www.econbiz.de/10012842537
We present an analytical solution for the connectivity of a network model with a "non-simultaneous" linking scheme. Despite its simplicity, this model exhibits node-space correlations in the link distribution, and anomalous fluctuations behavior of the time series of the connectivity variable,...
Persistent link: https://www.econbiz.de/10011719779
, given by their individual states of asset and income endowment pairs. However, the question remains open if the equilibrium … stationary equilibrium distribution of agents by showing that it must also be one that is nontrivial or nondegenerate …
Persistent link: https://www.econbiz.de/10013138713
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in … the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing … kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be …
Persistent link: https://www.econbiz.de/10009379444
Persistent link: https://www.econbiz.de/10010191433
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10014121046
surplus processes. We establish a general framework of Nash equilibrium for the associated non-zero-sum game with model … uncertainty. For the representative case of exponential utilities and the Heston model, we solve the equilibrium strategies …
Persistent link: https://www.econbiz.de/10012969836
In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard Lipschitz and monotonicity conditions, and by means of...
Persistent link: https://www.econbiz.de/10012982366
perceived risks. The complexity and changing nature of the world in which agents operate make all markets incomplete, which … dynamic equilibrium pricing and optimal design of new financial securities. Our mathematical tool for studying trading market … economic agent, equilibrium pricing of new securities amongst multiple agents, and the optimal design of new securities. Our …
Persistent link: https://www.econbiz.de/10012903656
The proliferation of algorithmic high-frequency trading in financial markets has also led to an increase in new types of fraudulent activity. Since the flash-crash of 2010 first brought it to popular prominence, layering or spoofing fraud has become a major concern for financial regulators...
Persistent link: https://www.econbiz.de/10012891797