ARBITRAGE PRICING AND EQUILIBRIUM PRICING: COMPATIBILITY CONDITIONS

Elyès Jouini () and Clotilde Napp

Chapter 6 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume III), 2002, pp 131-158 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Market ModelConditions on the primitive marketConditions on the purely financial assetsEquivalent Martingale MeasuresIn the primitive marketIn the full marketTrading StrategiesWealth process and admissible strategiesAchievable consumption and wealth processesOptimal Demand in the Full MarketEquilibrium and Compatible State Price DensitiesA necessary condition for equilibriumAssuming that the utility functions are “regular”Incomplete Markets and Many Productive AssetsReferences

Keywords: Quantitative Analysis; Financial Markets (search for similar items in EconPapers)
Date: 2002
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