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BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Non - Randomness Stock Market Price Model
Non - Randomness Stock Market Price Model everywhere discontinuous function
2011/3/23
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information cost of capital
2009/5/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multip...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter VII Of the Natural and Market Price of Commodities
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Market
2009/2/12
There is in every society or neighbourhood an ordinary or average rate both of wages and profit in every different employment of labour and stock. This rate is naturally regulated, as I shall show her...
(Contemporary Issue) Cotton Market Price Information: How it Affects the Industry
(Contemporary Issue) Cotton Market Price Information Affects Industry
2008/12/15
Price information is relevant to all sectors and participants in the cotton industry, but understanding of the roles of price information by industry is not widespread. This paper examines the role of...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information
2010/12/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multipl...