3 papers
math.PR2006
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…
math.PR2005
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…
math.PR2003
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…