2 papers
q-fin.RM2009
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Michail Anthropelos, Gordan Zitkovic
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming tha…
q-fin.PR2008
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
Michail Anthropelos, Gordan Zitkovic
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assum…