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Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times (Classic Reprint) - Brossura
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Excerpt from Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times
We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expec tations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly mar keted events if they have rational expectations and if there are no free lunches. It then follows that if all the elementary events are marketed for a worse informed agent then any price system that admits no free lunches to a better informed agent must dynami cally equalize the information asymmetry between the two. We provide an example of.
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- EditoreForgotten Books
- Data di pubblicazione2018
- ISBN 10 1332270867
- ISBN 13 9781332270866
- RilegaturaCopertina flessibile
- LinguaInglese
- Numero di pagine34
- Contatto del produttorenon disponibile
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Multiperiod Securities Markets, With Differential Information Martingales and Resolution Times Classic Reprint
Da: PBShop.store US, Wood Dale, IL, U.S.A.
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PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo LW-9781332270866
Quantità: 15 disponibili
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Multiperiod Securities Markets, With Differential Information Martingales and Resolution Times Classic Reprint
Da: PBShop.store UK, Fairford, GLOS, Regno Unito
Valutazione del venditore 4 su 5 stelle
PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo LW-9781332270866
Quantità: 15 disponibili
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Multiperiod Securities Markets, With Differential Information (Classic Reprint)
Print on DemandDa: Forgotten Books, London, Regno Unito
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Paperback. Condizione: New. Print on Demand. This book examines the behavior of securities markets in a multi-period model where different participants have differing access to information. It extends the famous Harrison-Kreps connection between price processes and martingales. It goes on to study the information that must be revealed by a better-informed agent to a worse-informed agent if free lunches are to be precluded. Finally, it formalizes the connection between completely revealing price processes and dynamically complete markets for elementary contingent claims. The book demonstrates that an arbitrage-free price system is intimately connected with martingales under rational expectations. It also shows that the absence of free lunches necessitates differing agents agreeing on the resolution times of commonly marketed events. This means that, through an arbitrage-free price system, endowed information asymmetry is equalized. Overall, this book provides valuable insights into the behavior of securities markets with differential information. Its analysis is theoretically rigorous and the results are presented in a clear and accessible manner. Anyone interested in a deeper understanding of the interactions between information asymmetry, market dynamics, and equilibrium will find this book to be an invaluable resource. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Codice articolo 9781332270866_0
Quantità: Più di 20 disponibili