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Project C5: Financial equilibria under Knightian uncertainty


Principal Investigator(s)
Shige Peng
Frank Riedel

Summary:

Knightian uncertainty (or model uncertainty) is by now a major theme in financial economics. The consequences of Knightian uncertainty for financial markets, in particular concerning volatility uncertainty, remain largely unexplored. This project combines the economic theory of general equilibrium under uncertainty and the newly developed stochastic calculus for non-dominated classes of probability measures (G-calculus) to study the consequences for asset markets. As a long-run goal, we aim to explore equilibrium models based on a continuum of locally interacting agents with the help of new results on stochastic partial differential equations.


Recent Preprints:

18038 Max Nendel PDF

Markov chains under nonlinear expectation

Project: C5

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Markov chains under nonlinear expectation


Authors: Max Nendel Projects: C5
Submission Date: 31.07.2018 Submitter:
Download: PDF Link: 18038

18037 Bienvenido Barraza Martínez, Robert Denk, Jairo Hernández Monzón, Felix Kammerlander, Max Nendel PDF

Regularity and asymptotic behaviour for a damped plate-membrane transmission problem

Project: C5

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Regularity and asymptotic behaviour for a damped plate-membrane transmission problem


Authors: Bienvenido Barraza Martínez, Robert Denk, Jairo Hernández Monzón, Felix Kammerlander, Max Nendel Projects: C5
Submission Date: 31.07.2018 Submitter:
Download: PDF Link: 18037

17030 Patrick Beißner, Frank Riedel PDF

Non Implementability of Arrow-Debreu Equilibria by Continuous Trading under Volatility Uncertainty

Project: C5

Published: Finance and Stochastics 22, no. 3 (2018), 603–620

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Non Implementability of Arrow-Debreu Equilibria by Continuous Trading under Volatility Uncertainty


Authors: Patrick Beißner, Frank Riedel Projects: C5
Submission Date: 01.12.2017 Submitter:
Download: PDF Link: 17030
Published: Finance and Stochastics 22, no. 3 (2018), 603–620

17028 Patrick Beißner, Frank Riedel PDF

Equilibria under Knightian Price Uncertainty

Project: C5

To appear: Econometrica

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Equilibria under Knightian Price Uncertainty


Authors: Patrick Beißner, Frank Riedel Projects: C5
Submission Date: 27.11.2017 Submitter:
Download: PDF Link: 17028
To appear: Econometrica

17001 Matteo Burzoni, Frank Riedel, Mete Soner PDF

Viability and Arbitrage under Knightian Uncertainty

Project: C5

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Viability and Arbitrage under Knightian Uncertainty


Authors: Matteo Burzoni, Frank Riedel, Mete Soner Projects: C5
Submission Date: 18.07.2017 Submitter:
Download: PDF Link: 17001



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