Dynamic hedging, positive feedback, and general equilibrium:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2001
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 213 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Vbrwort 7
1 Introductory Part 9
X General introduction 11
1.1 Replication and arbitrage 12
1.2 Informed and uninformed trading 18
1.3 Dynamic hedging and market liquidity 22
1.3.1 A theoretical perspective 22
1.3.2 An applied perspective 26
1.4 Organization of the thesis 33
2 Related work 39
2.1 Introduction 39
2.2 Common model features 40
2.3 Complete information models 41
2.3.1 Brennan and Schwartz (1989) 41
2.3.2 Donaldson and Uhlig (1993) 43
2.3.3 Jarrow (1994) 43
2.3.4 Balduzzi, Bertola, and Foresi (1995) 44
2.3.5 BASAK (1995) 45
2.3.6 Frey and Stremme (1995) 46
2.3.7 Grossman and Zhou (1996) 47
2.3.8 Sircar and Papanicolaou (1997) 49
2.4 Incomplete information models 50
2.4.1 Grossman (1988) 50
2.4.2 Genotte and Leland (1990) 51
2.4.3 Jacklin, Kleidon, and Pfleiderer (1992) 52
2.5 A brief look towards application 53
2.6 Summary 54
3
4 CONTENTS
II Theoretical Foundations 57
3 Uncertainty A quick review 61
3.1 Introduction 61
3.2 Modelling uncertainty 62
3.3 Decision making under uncertainty 67
3.4 Summary 71
4 The martingale approach 73
4.1 Introduction 73
4.2 The market model 74
4.2.1 Primitives 74
4.2.2 Securities 74
4.2.3 Basic definitions 75
4.2.4 Agents 77
4.3 Central results 78
4.4 Two date examples 84
4.4.1 Option pricing in complete markets 84
4.4.2 Option pricing in incomplete markets 86
4.4.3 Optimal consumption in complete markets 88
4.4.4 Optimal consumption in incomplete markets 89
4.5 Three date examples 90
4.5.1 Optimal consumption in complete markets 91
4.5.2 Optimal consumption in incomplete markets 94
4.6 Summary 97
III Applications 101
5 Dynamic hedging and positive feedback 105
5.1 Introduction 105
5.2 The market model 105
5.3 Contingent claim pricing 108
5.3.1 Pricing in the Cox, Ross, and RUBINSTEIN (1979)
model 108
5.3.2 Comparison with Black and Scholes (1973) HO
5.4 The main result 114
5.4.1 Derivation of the main result H4
5.4.2 A graphic illustration of the main result 120
5.5 Summary 121
CONTENTS 5
6 Dynamic hedging and general equilibrium in complete mar¬
kets 123
6.1 Introduction 123
6.2 The market model 125
6.2.1 Primitives 125
6.2.2 Securities 126
6.2.3 Agents 128
6.3 Equilibrium analysis 136
6.4 Some special cases 139
6.4.1 The example economy 140
6.4.2 Positive feedback increases volatility 142
6.4.3 Positive feedback decreases volatility 146
6.4.4 Negative feedback increases volatility 149
6.5 Comparative statics analysis 150
6.5.1 Dynamic hedging of calls 152
6.5.2 Dynamic hedging of calls and puts 154
6.6 Summary 156
6.7 Mathematical proofs 157
6.7.1 Proof of Theorem 5.4 157
6.7.2 Proof of proposition 50 161
6.7.3 Proof of proposition 55 163
6.7.4 Proof of proposition 57 164
6.7.5 Proof of proposition 61 165
7 Dynamic hedging and general equilibrium in incomplete mar¬
kets 167
7.1 Introduction 167
7.2 The market model 168
7.2.1 Primitives 169
7.2.2 Securities 170
7.2.3 Agents 170
7.3 Super replication strategies 171
7.3.1 Determinacy of optimal strategies 172
7.3.2 Derivation of optimal strategies 174
7.4 Equilibrium analysis 181
7.5 Comparative statics analysis 184
7.5.1 Dynamic hedging of calls 184
7.5.2 Dynamic hedging of calls and puts 185
7.6 Numerical computations 187
7.7 Summary 190
7.8 Mathematical proofs 192
6 CONTENTS
7.8.1 Proof of proposition 68 192
7.8.2 Proof of proposition 71 194
Concluding Remarks 199
Bibliography 203
|
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| indexdate | 2024-07-09T18:49:50Z |
| institution | BVB |
| language | English |
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| spelling | Hilpisch, Yves Verfasser (DE-588)122757831 aut Dynamic hedging, positive feedback, and general equilibrium vorgelegt von Yves J. Hilpisch 2001 213 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Saarbrücken, Univ., Diss., 2000 Hochschulschrift gtt Dynamisches Modell (DE-588)4150932-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd rswk-swf Gleichgewichtsmodell (DE-588)4125214-7 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Hedging (DE-588)4123357-8 s Gleichgewichtsmodell (DE-588)4125214-7 s Dynamisches Modell (DE-588)4150932-8 s DE-604 Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009336118&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hilpisch, Yves Dynamic hedging, positive feedback, and general equilibrium Hochschulschrift gtt Dynamisches Modell (DE-588)4150932-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Gleichgewichtsmodell (DE-588)4125214-7 gnd Hedging (DE-588)4123357-8 gnd |
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| title | Dynamic hedging, positive feedback, and general equilibrium |
| title_auth | Dynamic hedging, positive feedback, and general equilibrium |
| title_exact_search | Dynamic hedging, positive feedback, and general equilibrium |
| title_full | Dynamic hedging, positive feedback, and general equilibrium vorgelegt von Yves J. Hilpisch |
| title_fullStr | Dynamic hedging, positive feedback, and general equilibrium vorgelegt von Yves J. Hilpisch |
| title_full_unstemmed | Dynamic hedging, positive feedback, and general equilibrium vorgelegt von Yves J. Hilpisch |
| title_short | Dynamic hedging, positive feedback, and general equilibrium |
| title_sort | dynamic hedging positive feedback and general equilibrium |
| topic | Hochschulschrift gtt Dynamisches Modell (DE-588)4150932-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Allgemeines Gleichgewichtsmodell (DE-588)4210294-7 gnd Gleichgewichtsmodell (DE-588)4125214-7 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | Hochschulschrift Dynamisches Modell Kreditmarkt Allgemeines Gleichgewichtsmodell Gleichgewichtsmodell Hedging |
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