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Arbitrage and control problems in finance: A presentation

Jouini, Elyès (2001), Arbitrage and control problems in finance: A presentation, Journal of Mathematical Economics, 35, 2, p. 167-183. http://dx.doi.org/10.1016/S0304-4068(00)00063-X

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Type
Article accepté pour publication ou publié
Date
2001-04
Journal name
Journal of Mathematical Economics
Volume
35
Number
2
Publisher
Elsevier
Pages
167-183
Publication identifier
http://dx.doi.org/10.1016/S0304-4068(00)00063-X
Metadata
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Author(s)
Jouini, Elyès
Abstract (EN)
When 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.
Subjects / Keywords
Arbitrage; Equilibrium; Financial markets; Utility maximization; Derivatives pricing; Market frictions; Transaction costs
JEL
D53 - Financial Markets
G10 - General

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