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Complete and competitive financial markets in a complex world
- Publication Year :
- 2021
- Publisher :
- Springer, 2021.
-
Abstract
- We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity.
- Subjects :
- Statistics and Probability
Financial economics
Mathematical finance
Financial market
Extension (predicate logic)
Mathematical Finance (q-fin.MF)
Microeconomics
FOS: Economics and business
Market power
Market completene
Quantitative Finance - Mathematical Finance
No arbitrage
Economics
Sample space
Sublinear pricing
Arbitrage
SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Statistics, Probability and Uncertainty
SECS-P/01 - ECONOMIA POLITICA
Finance
Probability measure
Competitive completion
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....0ef3edc25ceccad16f5585f3db3bfc93