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  • 1
    Electronic Resource
    Electronic Resource
    Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves[The work o] (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of a Central Bank that wants the exchange rate to be as close as possible to a given target, and in order to do that uses both the interest rate level and interventions in the foreign exchange market. We model this as a mixed classical-impulse stochastic control problem, and provide for the first time a solution to that kind of problem. We give examples of solutions that allow us to perform an interesting economic analysis of the optimal strategy of the Central Bank.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00086
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    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00120.x
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    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Optimal Consumption-Portfolio Policies With Habit Formation (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This is a companion paper to the authors ‘Asset Prices in an Exchange Economy with Habit Formation” in Econometrica which focuses on consumption demand and asset pricing when preferences are habit forming. Here we prove existence of optimal consumption-portfolio policies for (i) utility functions for which the marginal cost of consumption (MCC) interacts with the habit formation process and satisfies a recursive integral equation with forward functional Lipschitz integrand and (ii) utilities for which the MCC is independent of the standard of living and satisfies a recursive integral equation with locally Lipschitz integrand. Result (i) is demonstrated here for the first time. Result (ii) is novel and enables us to consider Cobb-Douglas utilities without placing lower bounds on the system of Arrow-Debreu prices. We also review and extend our earlier results in the linear case; in particular, we provide new insights about the structure of optimal portfolios. Additional new features of the model include the possibility of finite marginal utility of consumption at zero and habit formation mechanisms with stochastic coefficients. an extension to a financial market model with general processes is outlined. A byproduct of the analysis is a set of fixed-point theorems for recursive integral equations with forward functional Lipschitz or locally Lipschitz integrands.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00032.x
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    Paper (German National Licenses)
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  • 4
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    Introduction to the economics and mathematics of financial markets (2004)
    Cambridge, Mass : MIT Press
    Details
    Keywords: Finance, Mathematical models, Textbooks.
    Pages: xxi, 494 p.
    ISBN: 1-417-50223-1
    URL: http://www.netLibrary.com/urlapi.asp?action=summary&v=1&bookid=106833
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    E-Book (German National Licenses)
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