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Controlling Price Volatility Through Financial Innovation

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  • Alessandro Citanna
  • Karl Schmedders

Abstract

In this paper, the authors study the possibility of controlling asset price volatility through financial innovation in a three-period finite competitive exchange economy with incomplete financial markets and retrading.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Alessandro Citanna & Karl Schmedders, 2002. "Controlling Price Volatility Through Financial Innovation," Discussion Papers 1338, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  • Handle: RePEc:nwu:cmsems:1338
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    References listed on IDEAS

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    5. Siconolfi, P & Villanacci, A, 1991. "Real Indeterminacy in Incomplete Financial Market Economies without Aggregate Risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 265-276.
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    7. Atsushi Kajii & Antonio Villanacci & Alessandro Citanna, 1998. "Constrained suboptimality in incomplete markets: a general approach and two applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 495-521.
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    More about this item

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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