Academic
Publications
On securitization, market completion and equilibrium risk transfer

On securitization, market completion and equilibrium risk transfer,10.1007/s11579-010-0022-1,Mathematics and Financial Economics,Ulrich Horst,Traian A

On securitization, market completion and equilibrium risk transfer   (Citations: 5)
BibTex | RIS | RefWorks Download
We propose an equilibrium framework within which to price financial securities written on non-tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of equilibrium result for derivative prices and characterize the equilibrium market price of risk in terms of a solution to a non-linear BSDE.
Journal: Mathematics and Financial Economics , vol. 2, no. 4, pp. 211-252, 2010
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
Sort by: