Jump to ContentJump to Main Navigation

You are looking at 1-10 of 10 items

  • Keywords: complete markets x
Clear All Modify Search

View:

Asset Pricing in Discrete Time: A Complete Markets Approach

Ser-Huang Poon and Richard Stapleton

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.001.0001
Subject:
Economics and Finance, Financial Economics

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily ... More


ARBITRAGE-FREE PRICING IN COMPLETE MARKETS

Patrick L. Anderson

in The Economics of Business Valuation: Towards a Value Functional Approach

Published in print:
2013
Published Online:
September 2013
ISBN:
9780804758307
eISBN:
9780804783224
Item type:
chapter
Publisher:
Stanford University Press
DOI:
10.11126/stanford/9780804758307.003.0010
Subject:
Economics and Finance, Financial Economics

The author describes one of the breakthrough concepts of modern finance: the use of the no arbitrage principle in complete markets as the basis for the powerful mathematics of “risk neutral” or ... More


Theory and Econometrics

Lars Peter Hansen and Thomas J. Sargent

in Recursive Models of Dynamic Linear Economies

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691042770
eISBN:
9781400848188
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691042770.003.0001
Subject:
Economics and Finance, History of Economic Thought

This chapter sets out the book's focus, namely constructing and applying competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Here, an economy will ... More


ASSET PRICES IN A SINGLE-PERIOD MODEL

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0001
Subject:
Economics and Finance, Financial Economics

‘Asset Prices in a Single-period Model’ derives asset prices in a one-period model. The authors derive a version of the Capital Asset Pricing Model (CAPM) using a complete market, state-contingent ... More


Market Equilibrium

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0007
Subject:
Economics and Finance, Econometrics

This chapter defines and studies the properties of financial market equilibria in frictionless exchange economies populated by utility-maximizing individuals. The concept of Pareto-optimal equilibria ... More


Complete Markets

Tullio Jappelli and Luigi Pistaferri

in The Economics of Consumption: Theory and Evidence

Published in print:
2017
Published Online:
October 2017
ISBN:
9780199383146
eISBN:
9780199383160
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199383146.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

The chapter presents a model with complete markets, a situation in which consumers can access a full set of insurance contracts and are protected against any possible risk. Although in this model ... More


Uncertainty and Financial Assets

Jean-Pascal Bénassy

in Macroeconomic Theory

Published in print:
2011
Published Online:
April 2015
ISBN:
9780195387711
eISBN:
9780190261405
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:osobl/9780195387711.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter provides an overview of uncertainty at the individual and general equilibrium level. It evaluates the behavior of an individual who has to take decisions in uncertain environments. It ... More


Dynamic Securities Markets

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0008
Subject:
Economics and Finance, Financial Economics

The dynamic model with time‐additive utility is defined. The intertemporal budget constraint is explained. SDF processes are defined in terms of a martingale property. There is a strictly positive ... More


Continuous-Time Markets

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0013
Subject:
Economics and Finance, Financial Economics

A continuous‐time model of a securities market is introduced. The intertemporal budget constraint is defined. SDF processes and prices of risks are defined and characterized. Many properties of SDF ... More


Stochastic Discount Factors

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0003
Subject:
Economics and Finance, Financial Economics

SDFs are defined. The first order condition for portfolio choice is interpreted as: an investor’s marginal rate of substitution is an SDF. There is a strictly positive SDF if and only if there are no ... More


View: