Endogenous Inverse Demand Functions
In this work we present an equilibrium formulation for price impacts. This is motivated by the Bühlmann equilibrium in which assets are sold into a system of market participants, for example, a fi…
Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
In this paper, we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bo…
Scalar Multivariate Risk Measures with a Single Eligible Asset
In this paper, we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some result…
Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero-sum case, they may have different values at different equilibriums. Instead of focusing on the e…
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