A bipolar theorem for L
A note on -balayages of matrix-exponential Lev́y processes.
A stochastic overlapping generation model with a continuum of agents
We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type...
American prices embedded in european prices
An Approach to Wealth Modelling
2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.
An equilibrium model for electricity auctions
This work discusses the process of price formation for electrical energy within an auction-like trading environment. Calculating optimal bid strategies of power producers by equilibrium arguments, we obtain the corresponding electricity price and estimate its tail behavior.
An inflationary inventory model with time dependent demand with Weibull distribution deterioration and partial backlogging under permissible delay in payments
Arbitrage in a simple model with general transaction costs
We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.