Related papers: Mean-field equilibrium price formation with expone…
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
This work solves the equilibrium price formation problem for the risky stock by combining mean-field game theory with the binomial tree framework, adapting the classic approach of Cox, Ross \& Rubinstein. For agents with exponential and…
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporate habit formation in consumption preferences, which has been…
In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities…
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…
We study an $N$-player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Moreover, each player is concerned not only with her own…
In this paper, we study a class of real-valued mean-field backward stochastic differential equations (BSDEs) with generators of quadratic growth in the control variable and the mean-field term. Under this assumption, together with a bounded…
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the…
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a L\'evy-driven pure jump process (i.e. the driving L\'evy process has no Brownian component).…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
We establish an existence of equilibrium result for a class of non-Markovian mean-field games with unbounded control space in weak formulation. Our result is based on new existence and stability results for quadratic-growth generalized…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…
In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…
We develop a model based on mean-field games of competitive firms producing similar goods according to a standard AK model with a depreciation rate of capital generating pollution as a byproduct. Our analysis focuses on the widely-used…