5 papers
Short-horizon Duesenberry Equilibrium
Jaime Alberto Londoño
We develop a continuous-time general equilibrium framework for an infinite heterogeneous population whose household types are transported by a Brownian flow. Agents repeatedly solv…
State Dependent Utility
Jaime A. Londoño
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in f…
Dynamic State Tameness
Jaime A. Londoño
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly…
State Tameness: A New Approach for Credit Constrains
Jaime A. Londoño
We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We the…
Parametric Estimation of Diffusion Processes Sampled at First Exit Times
Jaime A. Londoño
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimat…