Fernando Alvarez,Francesco Lippi,Panagiotis Souganidis
Fernando Alvarez
In a Mean Field Game (MFG) each decision maker cares about the cross sectional distribution of the state and the dynamics of the distribution is generated by the agents' optimal decisions. We prove the uniqueness of the equilibrium in a cla...
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model [0.03%]
跳扩散模型下双头竞争中的投资时机与产能选择
Xiaoqin Wu,Zhijun Hu
Xiaoqin Wu
This paper aims to apply the real options game theoretic to study the impact of sudden events on the optimal investment timing and capacity choice in a duopoly market. We model the market demand and investment cost as the geometric Brownian...
Guillaume Bernis,Riccardo Brignone,Simone Scotti et al.
Guillaume Bernis et al.
We propose an extension of the Γ-OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. B...
Nacira Agram,Bernt Øksendal
Nacira Agram
We study a financial market where the risky asset is modelled by a geometric Itô-Lévy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which intervenes ...
Hamed Amini
Hamed Amini
We develop a model for contagion risks and optimal security investment in a directed network of interconnected agents with heterogeneous degrees, loss functions, and security profiles. Our model generalizes several contagion models in the l...
T R Hurd
T R Hurd
This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with N nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterpar...
Luca Bernardinelli,Paolo Guasoni,Eberhard Mayerhofer
Luca Bernardinelli
In a continuous-time market with a safe rate and a risky asset that pays a dividend stream depending on a latent state of the economy, several agents make consumption and investment decisions based on public information-prices and dividends...