The paper introduces an approach focused towards the modelling of dynamics of financial markets. It is based on the three principles of market clearing, exclusion of instantaneous arbitrage and minimization of increase of ...

We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved ...

The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...

It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...

This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free ...

Se presentan los fundamentos del problema de la valoración de opciones en contextos menos restrictivos que el propuesto por Black-Scholes, utilizando ecuaciones diferenciales parciales no lineales.

En esta tesis, abordamos algunos problemas relacionados con la interacción de los riesgos de seguros y financieros. Primero, consideramos una compañía de seguros o financiera con la intención de asignar el capital de ...

The dynamic relationship of the financial services from the digital transformation lead to the successful leading role fintech and the segments of its disruptive umbrella effect are separated. Thus, the statuto quo ...

Mientras que el acuerdo de Basilea II ha sido aplicado en la mayor parte del mundo, siguen existiendo muchas discrepancias aun en las técnicas avanzadas de modelos de riesgos operacionales que se usan en grandes bancos ...