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General Equilibrium Analysis of Financial Markets

In: Mathematical Financial Economics

Author

Listed:
  • Igor V. Evstigneev

    (University of Manchester)

  • Thorsten Hens

    (University of Zurich)

  • Klaus Reiner Schenk-Hoppé

    (University of Manchester)

Abstract

The chapter focuses on a classical topic in Financial Economics: the general equilibrium analysis of financial markets. It introduces the simplest version of a two-period stochastic equilibrium model. An existence result (without proof) is given. An equilibrium pricing formula is derived in the case of von Neumann-Morgenstern utilities. The chapter concludes with an analysis of links between the no-arbitrage hypothesis and equilibrium.

Suggested Citation

  • Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2015. "General Equilibrium Analysis of Financial Markets," Springer Texts in Business and Economics, in: Mathematical Financial Economics, edition 127, chapter 19, pages 187-195, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-16571-4_19
    DOI: 10.1007/978-3-319-16571-4_19
    as

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