4 papers
Mean-field equilibrium price formation under single-default risk
Masashi Sekine
We study equilibrium price formation in an incomplete financial market with a large population of agents, where stock prices are subject to a single-default event. Agents are assum…
Mean Field Equilibrium Asset Pricing Models With Exponential Utility
Masashi Sekine
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is char…
Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach
Masashi Sekine
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume th…
Mean field equilibrium asset pricing model with habit formation
Masaaki Fujii, Masashi Sekine
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporat…