mardi 17 juillet 2018

Ouvrages Collectifs

Arbitrage pricing and equilibrium pricing: compatibility conditions.
Collected papers of the New York University Mathematical Finance Seminar, 3, 131-158. Avellaneda, Marco: World Scientific.

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more realistic context of partial information, the equilibrium analysis permits to construct a unique valuation operator which only depends on some particular price processes as well as…

Market models with frictions: arbitrage and pricing issues.Cambridge University Press, 43-66.

This handbook presents the current state of practice, method and understanding in the field of mathematical finance. Each chapter, written by leading researchers, starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with outlines for possible solutions.

Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints.
47-58. Lassonde, Marc: Physica-Verlag.