Show simple item record

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.date.accessioned2018-04-03T08:22:33Z
dc.date.available2018-04-03T08:22:33Z
dc.date.issued1999
dc.identifier.issn0304-4068
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17621
dc.language.isoenen
dc.subjectTransaction costsen
dc.subjectMarket frictionsen
dc.subjectDerivatives pricingen
dc.subjectUtility maximizationen
dc.subjectFinancial marketsen
dc.subjectEquilibriumen
dc.subjectArbitrageen
dc.subject.ddc332en
dc.subject.classificationjelC.C7.C78en
dc.subject.classificationjelC.C7.C73en
dc.titleArbitrage and control problems in financeen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWhen the markets are dynamically complete and without imperfections there are three equivalent approaches in order to price a given asset: the arbitrage approach through the existence of a risk-neutral density, the utility approach through a utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections these three approaches lead to different results. This special issue explores these three approaches and their possible links. In this introduction we present an overview of the main contributions in this field as well as the main techniques and results. In particular, we introduce the other papers of this issue and we compare them quickly to the existing literature.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol35en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2001-05
dc.relation.isversionofjnlpages167-183en
dc.relation.isversionofdoi10.1016/S0304-4068(00)00063-Xen
dc.identifier.urlsitehttps://halshs.archives-ouvertes.fr/halshs-00167152en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-03-30T13:17:02Z
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record