Add to ORKGWe combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.general equilibrium, continuous time finance, théorie générale of stochastic processes, asset pricing, state prices
In order to find the real market value of an asset in an exchange economy, one would typically apply...
Abstract: This paper applies a continuous-time model to study the equilibrium of an economy consisti...
Abstract We study global properties of the equilibrium set of economies with a continuous consumptio...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
We combine general equilibrium theory and theorie generale of stochastic processes to derive structu...
The paper develops the continuous-time (infinite state space) counterpart of the discretetime gener...
We prove existence of equilibrium in a continuous-time securities market in which the securities are...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
Two price economy provides a new approach to describe incomplete markets. Unlike the classical econo...
Riedel F, Herzberg F. Existence of financial equilibria in continuous time with potentially complete...
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets,...
We consider a class of generalized capital asset pricing models in continuous time with a finite num...
We consider a full equilibrium model in continuous time comprising a finite number of agents and tra...
This paper develops an intertemporal general equilibrium theory of capital asset pricing. It is an a...
The paper defines a concept of a general equilibrium in markets with uncertainty about prices, and p...
In order to find the real market value of an asset in an exchange economy, one would typically apply...
Abstract: This paper applies a continuous-time model to study the equilibrium of an economy consisti...
Abstract We study global properties of the equilibrium set of economies with a continuous consumptio...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
We combine general equilibrium theory and theorie generale of stochastic processes to derive structu...
The paper develops the continuous-time (infinite state space) counterpart of the discretetime gener...
We prove existence of equilibrium in a continuous-time securities market in which the securities are...
Continuous time financial models assume that the state vector which characterizes the instantaneous ...
Two price economy provides a new approach to describe incomplete markets. Unlike the classical econo...
Riedel F, Herzberg F. Existence of financial equilibria in continuous time with potentially complete...
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets,...
We consider a class of generalized capital asset pricing models in continuous time with a finite num...
We consider a full equilibrium model in continuous time comprising a finite number of agents and tra...
This paper develops an intertemporal general equilibrium theory of capital asset pricing. It is an a...
The paper defines a concept of a general equilibrium in markets with uncertainty about prices, and p...
In order to find the real market value of an asset in an exchange economy, one would typically apply...
Abstract: This paper applies a continuous-time model to study the equilibrium of an economy consisti...
Abstract We study global properties of the equilibrium set of economies with a continuous consumptio...