This note shows that, with pre-set price and capital decisions of firms facing uncertainty and financial market imperfections, price, mark up and the expected degree of capacity utilization (resp. capital) decreases (resp. increases) with the firm internal net worth.

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framawork, we derive an equilibrium...

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models for the underlying asset returns with Generalized Hyperbolic (GH) innovations that are potentially skewed and leptokurtic. Assuming that the stochastic discount factor is an...

The impact of wholesale prices is examined in a context where the end customer access both free content and payper-use content, delivered by two different providers through a common network provider. We formulate and solve the game between the network provider and the pay-per-use content...

In this paper, we show how to obtain explicit formulae for a variety of popular path-dependent contracts with complex payoffs involving joint distributions of several extrema. More specifically, we give formulae for standard step-up and step-down barrier options, as well as partial and outside...

Network neutrality has recently been the topic of an important debate, in both the telecommunication and political worlds, because of its potential impact in every-day life. While there has been many studies discussing the advantages and drawbacks of neutrality, there is no game-theoretical...