87,171 research outputs found
La sfida della cogenitorialità
No full textL'Autrice ha curato - insieme ad Ortu e Simonelli- la Prefazione all'edizione italian
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
No full textA numeraire is a portfolio that, when securities, prices and dividends are expressed in its units, admits an equivalent martingale measure transforming any gain process into a martingale. We show that the set of equivalent martingale measures of a numeraire is one-to-one with a subset of Arrow-Debreu state prices, which becomes the whole set if and only if the numeraire is self-financing. Hence our result extends those (e.g. Harrison and Kreps (Journal of Economic Theory, 1979, 20, 381-408) Dothan (Prices in Financial Markets, Oxford Univ. Press, New York, 1990)) stated for specific self-financing numeraires. We also identify markets admitting self-financing numeraires, and characterize completeness, in terms of equivalent martingale measures, without requiring that specific securities be traded
Generic Existence and Robust Non Existence of Numeraires in Finite Dimensional Securities Markets
No full textWe supply necessary and sufficient conditions for the existence of numeraires. We also supply a characterization of robust non-existence of numeraires
Fixed Income Linked Life Insurance Policies with Minimum Guarantees: Pricing Models and Numerical Results
No full textWe propose a pricing model for life insurance policies in which the benfits are linked to a portfolio of interest rate sensitive asset
Existence of equivalent martingales measures in finite dimensional securities markets
No full textJOURNAL OF ECONOMIC THEOR
Attualità delle strategie di impiego dei feromoni. Atti XXI Congresso Nazionale Italiano di Entomologia, Campobasso giugno 2007: 166
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