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Keywords
(11)
Backward Stochastic Differential Equation
Derivative Pricing
Dynamic Risk Measure
Existence and Uniqueness
Financial Market
Financial Risk
Market Price of Risk
Risk Transfer
stochastic dierential
Stock Market
Risk Factors
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On securitization, market completion and equilibrium risk transfer
On securitization, market completion and equilibrium risk transfer,10.1007/s1157901000221,Mathematics and Financial Economics,Ulrich Horst,Traian A
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On securitization, market completion and equilibrium risk transfer
(
Citations: 5
)
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Ulrich Horst
,
Traian A. Pirvu
,
Gonçalo Dos Reis
We propose an equilibrium framework within which to price financial securities written on nontradable 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 nonfinancial 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 nonlinear BSDE.
Journal:
Mathematics and Financial Economics
, vol. 2, no. 4, pp. 211252, 2010
DOI:
10.1007/s1157901000221
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Citation Context
(2)
...Cheridito et al. [3] follow in the footsteps of Horst et al. [
11
] to solve a problem of valuing a derivative in an incomplete market by equilibrium considerations...
...In Horst et al. [
11
], the problem can be solved in a onedimensional framework, since the derivative is assumed to complete the market...
Christoph Frei
,
et al.
A financial market with interacting investors: does an equilibrium exi...
...They include rules of Pareto optimal risk allocation [12,17], market completion and dynamic equilibrium pricing [15,
16
], and, in particular, utility indifference arguments [2,3,5,6,9]....
Ulrich Horst
,
et al.
Risk minimization and optimal derivative design in a principal agent g...
References
(57)
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(
Citations: 14
)
Stefan Ankirchner
,
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,
Goncalo Dos Reis
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(
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,
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(
Citations: 26
)
Philippe Artzner
,
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,
JeanMarc Eber
,
David Heath
,
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Published in 2002.
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Citations: 102
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Philippe Artzner
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Journal:
Annals of Operations Research  Annals OR
, vol. 152, no. 1, pp. 522, 2007
Infconvolution of risk measures and optimal risk transfer
(
Citations: 86
)
Pauline Barrieu
,
Nicole El Karoui
Journal:
Finance and Stochastics
, vol. 9, no. 2, pp. 269298, 2005
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Citations
(5)
Quadratic Semimartingale BSDEs under an Exponential Moments Condition
(
Citations: 2
)
Markus Mochaand
,
Nicholas Westray
Published in 2011.
A financial market with interacting investors: does an equilibrium exist?
Christoph Frei
,
Gonçalo dos Reis
Journal:
Mathematics and Financial Economics
, vol. 4, no. 3, pp. 161182, 2011
Error Criteria for Numerical Solutions of Backward SDEs
C. Bender
,
J. Steiner
Published in 2010.
Risk minimization and optimal derivative design in a principal agent game
(
Citations: 1
)
Ulrich Horst
,
Santiago MorenoBromberg
Journal:
Mathematics and Financial Economics
, vol. 2, no. 1, pp. 127, 2008
Stochastische Ruckwartsgleichungen und Anwendungen in der Finanzmathematik
Dirk Becherer
,
Ulrich Horst