Browsing by Author "Monteiro, P. K."
Now showing items 21-40 of 47
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Introdução a integração estocástica
1994-06 -
Introdução à integração estocástica (Revisado em Julho de 1999)
1999-08-01A integração estocástica é a ferramenta básica para o estudo do apreçamento de ativos derivados1 nos modelos de finanças de tempo contínuo. A fórmula de Black e Scholes é o exemplo mais conhecido. Os movimentos de preços ... -
Leilão ótimo com distribuição geral
2007-02-08 -
A note on auctions with compulsory partnership
2016-12-01We study a symmetric, profit share, common value auction with a twist: One (fixed) Bidder, if not winning the auction, has to enter a partnership with the winner, sharing both expenses and revenue at rate (say) 0 < λ < 1. ... -
A note on convergence of Peck-Shell and Green-Lin mechanisms in the Diamond-Dybvig model
2011-07-27We study the effects of population size in the Peck-Shell analysis of bank runs. We find that a contract featuring equal-treatment for almost all depositors of the same type approximates the optimum. Because the approximation ... -
A note on the continuity of the optimal auction
2015In the independent private values auction model I study the continuity properties of the optimal auction revenue as a function of the valuations or types distribution. I show that the optimal revenue is lowersemicontinuous ... -
On the differentiability of the consumer demand function
1993-05For strictly quasi concave differentiable utility functions, demand is shown to be differentiable almost everywhere if marginal utilities are pointwise Lipschitzian. For concave utility functions, demand is differentiable ... -
On uniqueness of equilibrium in the Kyle Model
2014-12-27A longstanding unresolved question is whether the one-period Kyle Model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by Kyle (1985). ... -
Optimal auction with a general distribution: virtual valuation without densities
2008-11-25We characterize the optimal auction in an independent private values framework for a completely general distribution of valuations. We do this introducing a new concept: the generalized virtual valuation. To show the wider ... -
Optimal auctions in a general model of identical goods
1999-10-01In this paper I study optimal auctions of identical goods. There is synergy in the number of goods and independent bidder’s signals. -
Optimal auctions with multidimensional types and the desirability of exclusion
2004-03-01Within the context of a single-unit, independent private values auction model, we show that if bidder types are multidimensional, then under the optimal auction exclusion of some bidder types will occur. A second contribution ... -
Optimal selling mechanisms under moment conditions
2017-04-08We study the revenue maximization problem of a seller who is partially informed about the distribution of buyer's valuations, only knowing its first N moments. The seller chooses the mechanism generating the best revenue ... -
Porque favorecer firmas nacionais?
2000-04-06In this paper we offer a rationale for the existence of preferences for domestic…rms in government procurement. When the domestic…rm’s probability of completion of a government contract is larger than the foreign …rms ... -
Private provision of discrete public goods with incomplete information
2001-07We analyze the private provision of discrete public good games with incomplete information and continuous contributions. To use the terminology of [Admati and Perry, Review of Economic Studies 58 (1991) 259], we consider ... -
Resultados uniformemente seguros e equilíbrio de Nash em jogos compactos
2006-09-01Nós introduzimos uma condição, resultados uniformemente seguros, para jogos compactos e resultados ('payoffs') limitados e mensur´aveis nas estrat´egias. Demonstramos que se um jogo compacto tem resultados uniformemente ... -
Run theorems for low returns and large banks
2014-10In this paper, we revisit the issue of bank fragility in the Diamond and Dybvig (J Polit Econ 91:401-419, 1983) model with sequential service and finite traders. We provide a precise condition under which banks are susceptible ... -
The set of equilibria of first-price auctions
2004-03-01In this note I specify the class of functions that are equilibria of symmetric first-price auctions. -
Shortcomings of the Brazilian pre-salt auction design
2016-12-01The Brazilian government instituted a new regulatory framework for auctioning pre-salt oil reserves to replace the previous concession regime with a profitshare bidding auction. Motivated by the new rules, we present a ...
