- Full text PDF available (6)
- This year (0)
- Last 5 years (4)
- Last 10 years (4)
Let M(X) be the family of all equivalent local martingale measures Q for some locally bounded d-dimensional process X, and V be a positive process. The main result of the paper (Theorem 2.1) states that the process V is a supermartingale whatever Q E M(X), if and only if this process admits the following decomposition: t Vt = Vo + f H, dX~-Ct, t > O , o… (More)
A large financial market is described by a sequence of standard general models of continuous trading. It turns out that the absence of asymptotic arbitrage of the first kind is equivalent to the contiguity of sequence of objective probabilities with respect to the sequence of upper envelopes of equivalent martingale measures, while absence of asymptotic… (More)
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. We compute the sensitivities of these market indifference prices with respect to the size of the investor's order. It turns out that the price impact of an order is determined both by the market makers' joint risk tolerance and by… (More)
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the investor's orders and trade among themselves to attain Pareto optimal allocations. We first consider the case of… (More)
The existence of complete Radner equilibria is established in an economy whose parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat the time-inhomogeneous case.
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed in  and . These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments.