Asset Pricing in Mercati Completi (Asset Pricing in Complete Markets)

26 Pages Posted: 2 Jun 2020 Last revised: 7 Jun 2021

Date Written: June 7, 2021

Abstract

Italian abstract: L'obiettivo è spiegare in maniera succinta l'asset pricing nell'ipotesi di mercati completi. Dopo aver dato notazioni e definizioni, viene esposto il Terema fondamentale dell'Asset Pricing, il Risk-Neutral Pricing e le condizioni di non-arbitraggio. Date queste nozioni, il pricing delle attività finanziarie a reddito fisso diventa un facile risultato di calcolo matriciale.
Per il caso di mercati incompleti, vengono esposti alcuni metodi di completamento del mercato mediante derivati.

English abstract: Asset pricing in complete markets is explained. The essential definitions and price relationships leading to the "Fundamental Theorem of Asset Pricing" and the "Risk Neutral Pricing" are set, followed by the "no-arbitrage conditions of I and II type. Given these ingredients fixed income asset pricing in complete markets is a straightforward result.
Under Incomplete markets, some methods of market completion through the use of derivatives are explained.

Note: Downloadable document available in Italian.

Keywords: Portafoglio, Portfolio, Asset Pricing, Complete Markets, Fixed Income, No-Arbitrage, Market Completion

JEL Classification: D15, D52, D53, E43, G11, G12

Suggested Citation

Miceli, Maria-Augusta, Asset Pricing in Mercati Completi (Asset Pricing in Complete Markets) (June 7, 2021). Available at SSRN: https://ssrn.com/abstract=3568777 or http://dx.doi.org/10.2139/ssrn.3568777

Maria-Augusta Miceli (Contact Author)

University of Rome Sapienza ( email )

Dept. of Economics and Law
9, Via del Castro Laurenziano
Rome, Rome 00161
Italy

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