In a Markovian stochastic volatility model, we consider ?nancial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indi?fference valuation is ?first addressed and a number of properties are proved and discussed. Special...

We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge their future commodity price uncertainty. On the other hand, speculators invest in these contracts...

The paper studies equilibrium sharing of risk among limited number of strategically-behaved agents. We propose a Nash game where agents' strategic sets consist of all possible sharing securities and pricing kernels that are consistent with Arrow-Debreu sharing rules. First, it is shown that the...

We consider the market of n financial agents who aim to increase their utilities by efficiently sharing their random endowments. Given the endogenously derived optimal sharing rules, we address the situation where agents do not reveal their true endowments, but instead they report as endowments...

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...

We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and...