Showing 61 - 70 of 264
We consider an exchange economy under incomplete financial markets with purely financial securities and finitely many agents. When portfolios are not constrained Cass [4], Duffie [7] and Florenzano–Gourdel [12] proved that arbitrage-free security prices fully characterize equilibrium security...
Persistent link: https://www.econbiz.de/10011074101
The aim of this paper is to analyze the social construction of a new financial market. A longitudinal qualitative study is used to describe the development of the market for credit derivatives over the 1996-2005 period. Special attention is given to the fact that the market is a transnational...
Persistent link: https://www.econbiz.de/10011074396
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....
Persistent link: https://www.econbiz.de/10011171547
Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...
Persistent link: https://www.econbiz.de/10011096669
We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constrained to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a...
Persistent link: https://www.econbiz.de/10011099441
We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi [B....
Persistent link: https://www.econbiz.de/10011099446
The research shows that banking relationships are important to lending. However, few studies focus on the banking relationships in syndicated loans, although these loans have became a major source of financing. The last financial crisis clearly shows the impacts of credit rationing and...
Persistent link: https://www.econbiz.de/10010960595
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010905281
This paper fulfills the lack of option pricing empirical studies devoted to the French market and is also the first paper that brings a comparison between the Heston (1993) closed-form solution model and the Hull and White (1988) model, built in a series expansion form. The empirical study is...
Persistent link: https://www.econbiz.de/10010905284
This paper constructs a general equilibrium model of banking and financial markets. The model allows to compare financial systems in which banks have access to financial markets with financial systems in which banks do not have access to financial markets. Allen and Gale [A welfare comparison of...
Persistent link: https://www.econbiz.de/10011273977