Beißner, Patrick: Microeconomic theory of financial markets under volatility uncertainty. 2013
Inhalt
- General Introduction
- Foundation of Modern Finance
- Uncertainty: Probability and Possibility
- Asset Pricing under Volatility Uncertainty
- Radner Equilibria under Volatility Uncertainty
- Introduction
- Simple Economies under Singular Priors
- The Finite State Case
- The Commodity Space and the Price Dual
- A Detour: Spanning and Martingales
- A 1: Details and Proofs of Section 3
- The Infinite State Case
- Variational Preferences
- Existence of Arrow-Debreu Equilibrium
- A 2: Details and Proofs of Section 4
- The Primitives of the Economy
- Equilibria and Implementation
- Appendix A
- Ambiguity-Neutral Pricing under Volatility Uncertainty
- Introduction
- Viability and Sublinear Price Systems
- The Uncertainty Model and the Space of Claims
- Volatility Uncertainty, Dynamics and Arbitrage
- Section 2
- The sub-order dual
- Scenario-Based Viable Price Systems
- Equivalent Symmetric Martingale Measure Sets
- Section 3
- Stochastic analysis with G-Brownian motion
- Preferences and the Economy
- A Special Case: G-Expectation
- Asset Markets and Symmetric Martingales
- Discussion and Conclusion
- Appendix A: Details and Proofs
- Appendix B: Required results
- Brownian Equilibria under Drift Uncertainty