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Formal Approaches

Joseph E. Stiglitz, José Antonio Ocampo, Shari Spiegel, Ricardo Ffrench-Davis, and Deepak Nayyar

in Stability with Growth: Macroeconomics, Liberalization and Development

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199288144
eISBN:
9780191603884
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199288143.003.0009
Subject:
Economics and Finance, Development, Growth, and Environmental

This chapter discusses advances in formal economic theory by examining how different positions among economists arise from their different assumptions and models. The discussion focuses on ways in ... More


A Formal Approach: Capital Market Failures

Joseph E. Stiglitz, José Antonio Ocampo, Shari Spiegel, Ricardo Ffrench-Davis, and Deepak Nayyar

in Stability with Growth: Macroeconomics, Liberalization and Development

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199288144
eISBN:
9780191603884
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199288143.003.0011
Subject:
Economics and Finance, Development, Growth, and Environmental

Underlying the failure of CML was an overly simple model that assumed efficient and complete markets. There are, however, problems with externalities and weak or absent insurance markets, especially ... More


Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0015
Subject:
Economics and Finance, Financial Economics

This chapter examines derivative pricing in incomplete markets. It focuses on a particular type of incomplete market, namely a “factor model” — a market where there are some nontraded underlying ... 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


Development Microeconomics

Pranab Bardhan and Christopher Udry

Published in print:
1999
Published Online:
November 2003
ISBN:
9780198773719
eISBN:
9780191595929
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198773714.001.0001
Subject:
Economics and Finance, Development, Growth, and Environmental

Development Microeconomics looks at a broad spectrum of topics in development economics, combining the strength of conventional developmental thought with the insights of contemporary ... More


Household Economics

Pranab Bardhan and Christopher Udry

in Development Microeconomics

Published in print:
1999
Published Online:
November 2003
ISBN:
9780198773719
eISBN:
9780191595929
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198773714.003.0002
Subject:
Economics and Finance, Development, Growth, and Environmental

The basic model of household structure and behaviour in the field of economic development is that of a household that is jointly engaged in production and consumption—an ‘agricultural household ... More


Paul Samuelson and International Trade Theory Over Eight Decades

Avinash Dixit

in Samuelsonian Economics and the Twenty-First Century

Published in print:
2006
Published Online:
January 2009
ISBN:
9780199298839
eISBN:
9780191711480
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199298839.003.0014
Subject:
Economics and Finance, History of Economic Thought

This chapter provides an appraisal of Samuelson's work on trade theory. It explains the scientific importance of starting with the Ricardian 2x2 model and the current literature on comparative ... More


Obstacles to Trade, Enhanced Models of Selection, and the Impact of Policy Variation

Robert M. Townsend

in Financial Systems in Developing Economies: Growth, Inequality and Policy Evaluation in Thailand

Published in print:
2011
Published Online:
January 2011
ISBN:
9780199533237
eISBN:
9780191594892
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199533237.003.0010
Subject:
Economics and Finance, South and East Asia, Development, Growth, and Environmental

This chapter establishes that moral hazard, limited commitment, transaction costs, and other obstacles to trade are salient features of the Thai financial landscape. Structural choice models and data ... More


Theoretical Foundations

Angus Deaton

in Understanding Consumption

Published in print:
1992
Published Online:
November 2003
ISBN:
9780198288244
eISBN:
9780191596131
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288247.003.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

Reviews the basic micro‐foundations of intertemporal choice under uncertainty, and considers the implications for the macroeconomic aggregates of consumption and savings. It also reviews the ... More


Computing Models of Social Security

Ayşe İmrohoroğlu, Selahattin İmrohoroğlu, and Douglas H. Joines

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0010
Subject:
Economics and Finance, Macro- and Monetary Economics

A core topic of current economic research (and policy debate) is the evaluation of social security systems and their possible reforms. Shows how models of social security can be computed in economies ... More


A Note on Interlinked Rural Economic Arrangements

Pranab Bardhan

in The Economic Theory of Agrarian Institutions

Published in print:
1991
Published Online:
November 2003
ISBN:
9780198287629
eISBN:
9780191595912
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198287623.003.0012
Subject:
Economics and Finance, Development, Growth, and Environmental

The author, in a brief overview of the theoretical literature on interlinked transactions, tries to balance the efficiency advantages with the possible adverse distributional consequences.


Advanced Consumption-Based Asset Pricing

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/9780199585496.003.0009
Subject:
Economics and Finance, Econometrics

Ch. 8 illustrated that the simple CRRA-lognormal consumption-based asset pricing model cannot match stylized empirical facts. This chapter presents a number of extensions of the simple model that ... More


Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0010
Subject:
Economics and Finance, Financial Economics

This chapter provides a detailed discussion of the problems surrounding arbitrage pricing in incomplete markets.


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


Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0029
Subject:
Economics and Finance, Econometrics

This chapter is an introduction to a series of chapters on incomplete markets. We present the general setting in terms of a Markov factor and we discuss how incompleteness comes into play in this ... More


A Primer on Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0009
Subject:
Economics and Finance, Econometrics

We discuss market incompleteness within the relatively simple framework of a factor model. The corresponding pricing PDE is derived and we relate it to the market price of risk.


Portfolio Optimization in Incomplete Markets

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0032
Subject:
Economics and Finance, Econometrics

The object of this chapter is to give an overview of the dual approach to portfolio optimization in incomplete markets. The main result of this theory is that to every optimal investment problem ... More


Utility Indifference Pricing and Other Topics

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0033
Subject:
Economics and Finance, Econometrics

In this chapter we discuss two methods of pricing in incomplete markets, based on utility functions. This theory comes in the shape of a global and a local version. Both versions are discussed, and ... More


Labor and Employment

Geoffrey M. Hodgson

in Conceptualizing Capitalism: Institutions, Evolution, Future

Published in print:
2015
Published Online:
January 2016
ISBN:
9780226168005
eISBN:
9780226168142
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226168142.003.0009
Subject:
Economics and Finance, Economic Systems

This chapter considers (1) the nature of the employment relationship, (2) the consequences of practical and legal limitations on contracts for future employment, and (3) Marx's claim that the ... More


The Response of Consumption to Income Risk

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/9780199383146.003.0010
Subject:
Economics and Finance, Macro- and Monetary Economics

Tests of the importance of precautionary saving follow several research strategies. One aims to find a variable (or set of variables) that can approximate the variance of the growth rate of ... More


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