Finance and Stochastics
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Optimal dividend distribution under Markov regime switching
Finance and Stochastics - Tập 16 - Trang 449-476 - 2012
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. In this setting, the objective of the company is to...... hiện toàn bộ
No-arbitrage under a class of honest times
Finance and Stochastics - Tập 22 - Trang 127-159 - 2017
This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit with bounded risk (NUPBR) and additional progressive information generated by a random time. This study complements the one of Aksamit et al. (Finance Stoch. 21:1103–1139, 2017) in which the authors have studied similar topics for the model stopped at the random time, while here we deal with the question of ...... hiện toàn bộ
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
Finance and Stochastics - Tập 11 - Trang 323-355 - 2007
Under the assumption that the asset value follows a phase-type jump-diffusion, we show that the expected discounted penalty satisfies an ODE and obtain a general form for the expected discounted penalty. In particular, if only downward jumps are allowed, we get an explicit formula in terms of the penalty function and jump distribution. On the other hand, if the downward jump distribution is a mix...... hiện toàn bộ
Robust utility maximisation in markets with transaction costs
Finance and Stochastics - Tập 23 - Trang 677-696 - 2019
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions, we prove the existence of optimal strategies for investors who maximise their worst-case utility over a class of possible models. We consider utility functions defined on either the positive axis or the whole real line.
Worst case portfolio vectors and diversification effects
Finance and Stochastics - Tập 16 - Trang 155-175 - 2010
We consider the problem of identifying the worst case dependence structure of a portfolio X
1,…,X
n
of d-dimensional risks, which yields the largest risk of the joint portfolio. Based on a recent characterization result of law invariant convex risk measures, the worst case portfolio structure is identified as a μ-c...... hiện toàn bộ
Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
Finance and Stochastics - Tập 11 - Trang 299-322 - 2007
We consider a nonstandard ruin problem where: (i) the increments of the process are heavy-tailed and Markov-dependent, modulated by a general Harris recurrent Markov chain; (ii) ruin occurs when a positive boundary is attained within a sufficiently small time. Our main result provides sharp asymptotics for the small-time probability of ruin, viz., P(sup
n≤δ
...... hiện toàn bộ
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Finance and Stochastics - Tập 20 - Trang 973-1020 - 2016
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing high order asymptotic expansions for the at-the-money implied volatility skew, under a rich class of stochastic volatility models with independent stable-like jumps o...... hiện toàn bộ
FTAP in finite discrete time with transaction costs by utility maximization
Finance and Stochastics - Tập 18 - Trang 805-823 - 2014
The aim of this paper is to prove the fundamental theorem of asset pricing (FTAP) in finite discrete time with proportional transaction costs by utility maximization. The idea goes back to L.C.G. Rogers’ proof of the classical FTAP for a model without transaction costs. We consider one risky asset and show that under the robust no-arbitrage condition, the investor can maximize his expected utility...... hiện toàn bộ
Robust utility maximization for a diffusion market model with misspecified coefficients
Finance and Stochastics - Tập 17 Số 3 - Trang 535-563 - 2013
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