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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302975
Description: We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/267488
Description: We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs) ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/197395
Description: A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measu ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/200418
Description: Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/348044
Description: This paper considers a risk-based approach for indifference valuation of contingent claims in the context of a continuous-time stochastic volatility model. Since the market in the model is incomplete ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138019
Description: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state, Markov chain. We interpret the states of the cha ... More
Reviewed: Reviewed
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