Illustrations in Finance and Economics

Jean-Pierre Aubin (), Alexandre M. Bayen () and Patrick Saint-Pierre ()
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Jean-Pierre Aubin: VIMADES
Alexandre M. Bayen: University of California at Berkeley, Electrical Engineering and Computer Sciences Civil and Environmental Engineering
Patrick Saint-Pierre: Université Paris Dauphine LEDA-SDFi

Chapter Chapter 15 in Viability Theory, 2011, pp 603-630 from Springer

Abstract: Abstract This chapter describes two problems motivated by financial mathematics (implicit evaluation of the volatility of portfolios) and of economic theory (bridging the gap between micro and macro economics). These are selected examples chosen for their intrinsic interest and for illustrating how viability concepts and theorems can be used to solve these questions. The focus of this chapter is not the place to expose and develop more examples.

Keywords: Interest Rate; Utility Function; Risky Asset; Exercise Time; Invisible Hand (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-16684-6_15

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DOI: 10.1007/978-3-642-16684-6_15

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