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dc.contributor.authorJouini, Elyès
dc.date.accessioned2009-07-10T09:13:49Z
dc.date.available2009-07-10T09:13:49Z
dc.date.issued1997
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1047
dc.descriptionLecture Notes in Mathematics
dc.language.isoenen
dc.subjectMarket imperfections
dc.subjectequilibrium
dc.subjectarbitrage
dc.subject.ddc332en
dc.subject.classificationjelD53en
dc.subject.classificationjelL13en
dc.subject.classificationjelG12en
dc.titleMarket Imperfections , Equilibrium and Arbitrage
dc.typeChapitre d'ouvrage
dc.description.abstractenThe theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their expected value with respect to an equivalent martingale measure. If this value is unique, the claim is said to be priced by arbitrage. The new probabilities can be interpreted as state prices or as the intertemporal marginal ratyes of substitution of an agent maximizing his expected utility. In this work, we will propose a general model that takes frictions into account.
dc.identifier.citationpages247-307
dc.relation.ispartoftitleFinancial Mathematics
dc.relation.ispartofeditorRunggaldier, Wolfgang
dc.relation.ispartofpublnameSpringer
dc.relation.ispartofpublcityBerlin Heidelberg
dc.relation.ispartofdate1997
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn3540626425
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-09-14T13:20:27Z


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