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Consistent price systems for subfiltrations

Andrea Gombani, Stefan Jaschke, Wolfgang Runggaldier (2007)

ESAIM: Probability and Statistics

Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration ^ that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associated numeraire S, we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...

Cooperative networks games with elastic demands

Alain Quilliot, Fatiha Bendali, Jean Mailfert (2007)

RAIRO - Operations Research

We present here a pricing model which is an extension of the cooperative game concept and which includes a notion of elastic demand. We present some existence results as well as an algorithm, and we conclude by discussing a specific problem related to network pricing.

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