Articles

Analytical solutions for the pricing of American bond and yield options

R. Elliott, R. Gibson, M. CHESNEY

Mathematical Finance

juillet 1993, vol. 3, n°3, pp.277-294

Départements : Finance


Asset Markets and the Information Revealed by Prices

P. Siconolfi, H. M. POLEMARCHAKIS

Economic Theory

1993, n°3

Départements : Finance


Asymétries d'information et marchés financiers : une synthèse de la littérature récente

T. FOUCAULT, B. BIAIS

L'Actualité Economique

mars 1993, vol. 69

Départements : Finance, GREGHEC (CNRS)


Competitive Equilibria Without Free Disposal or Nonsatiation

P. Siconolfi, H. M. POLEMARCHAKIS

Journal of Mathematical Economics

1993, n°22

Départements : Finance


Cournot Competition, Forward Markets and Efficiency

B. ALLAZ, J. Vila

Journal of Economic Theory

février 1993, vol. 59, n°1, pp.1-16

Départements : Finance, GREGHEC (CNRS)


We build a model with two Cournot duopolists who produce at Time 0 wich is the date at which all demand is realized. N periods before time 0, the duopolists trade on a forward market for delivery at Time 0. Having made these contracts, they trade again at time ( ? N + 1) for delivery at Time 0. etc. We show that, in equilibrium, each of them will sell forward which makes them worse off and makes consumers better off than if the forward market did not exist. When N, the number of forward trading periods prior to production, tends to infinity, the outcome tends to the competitive solution

Cross-border alliances of French banks in Europe

B. MAROIS, O. Matuchansky

Bank Archiv, Vienne

1993, n°5, pp.327-335

Départements : Finance


Currency hedging and Siegel's paradox: on black's universal hedging rule

B. SOLNIK

Review of International Economics

juin 1993, vol. 1, n°2, pp.180-187

Départements : Finance


Currency Option Pricing within a Credible Target Zone

L. Jennergren, B. Naslund, B. DUMAS

Review of Futures Markets

1993, n°12, pp.323-346

Départements : Finance


Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

R. Elliott, D. Madan, H. Yang, M. CHESNEY

Mathematical Finance

avril 1993, vol. 3, n°2, pp.85-99

Départements : Finance


Internationalisation of Japanese Financial Institutions: Past, Present and Future

B. MAROIS

Bank Archiv, Vienne

décembre 1993, pp.968-972

Départements : Finance



JavaScriptSettings