scholarly journals A Multiperiod Equilibrium Pricing Model

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Minsuk Kwak ◽  
Traian A. Pirvu ◽  
Huayue Zhang
Keyword(s):  
Optimal Strategies ◽  
Risky Asset ◽  
Model Parameters ◽  
Contingent Claim ◽  
Pricing Model ◽  
Equilibrium Pricing ◽  
Equilibrium Prices ◽  
Numerical Result ◽  
Stochastic Framework ◽  
Stochastic Coefficient

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

Asymmetric Information, Heterogeneous Belief and Risky Asset Pricing

2012 ◽  
Vol 430-432 ◽  
pp. 1095-1098
Author(s):  
Xiao Qiang Yu ◽  
Shan Cun Liu
Keyword(s):  
Asset Pricing ◽  
Asymmetric Information ◽  
Empirical Research ◽  
Asset Price ◽  
Risky Asset ◽  
Pricing Model ◽  
Asset Pricing Model

In this paper, we put forward the assumption that investors have asymmetric information and heterogeneous belief and derive an asset pricing model. The model suggests the extent of asymmetric information or heterogeneous belief is positively correlated with the risky asset price, which matches the former empirical research.

scholarly journals Immunization under stochastic models of the term structure

1978 ◽  
Vol 105 (2) ◽  
pp. 177-187 ◽  
Author(s):  
P. P. Boyle
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Stochastic Models ◽  
Random Variables ◽  
Equilibrium Prices ◽  
Capital Assets ◽  
Stochastic Framework ◽  
The Relationship

1.1. The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic (i.e. non-stochastic) framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

scholarly journals A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

2006 ◽  
Vol 36 (1) ◽  
pp. 269-283 ◽  
Author(s):  
Masaaki Kijima
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing ◽  
Multivariate Extension ◽  
Aggregate Risk ◽  
Normally Distributed

This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.

scholarly journals ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL

2016 ◽  
Vol 19 (07) ◽  
pp. 1650047 ◽  
Author(s):  
MIKLÓS RÁSONYI
Keyword(s):  
Expected Utility ◽  
Optimal Strategies ◽  
Asset Returns ◽  
Optimal Investment ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Return ◽  
Return Distributions ◽  
Restrictive Hypothesis

We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the tails of asset return distributions. Using a different method, we manage to remove this hypothesis, at the price of stronger assumptions on the moments of asset returns.

scholarly journals Global Dynamics and Sensitivity Analysis of a Vector-Host-Reservoir Model

2016 ◽  
Vol 21 (2) ◽  
pp. 120
Author(s):  
Ibrahim M. ELmojtaba ◽  
Santanu Biswas ◽  
Joydev Chattopadhyay
Keyword(s):  
Sensitivity Analysis ◽  
Positive Equilibrium ◽  
Model Parameters ◽  
Global Dynamics ◽  
Asymptotically Stable ◽  
Animal Reservoir ◽  
Globally Asymptotically Stable ◽  
Numerical Result ◽  
Perform Sensitivity Analysis ◽  
Host Reservoir

The role of animal reservoir in the disease dynamics is not yet properly studied. In the present investigation a mathematical model of a vector-host-reservoir is proposed and analyzed to observe the global dynamics of the disease. We observe that the disease free equilibrium is globally asymptotically stable if the basic reproduction number ( ) is less than unity whereas unique positive equilibrium is globally asymptotically stable if and transcritical bifurcation occurs at . Our numerical result suggests that the biting rate plays an important role for the propagation of the disease and the recovery rate has not such important contribution towards eradication of the disease. We also perform sensitivity analysis of the model parameters and the results suggest that the death rate of reservoir may be used as a control parameter to eradicate the disease. 

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