Related papers: Dynamic exponential utility indifference valuation
In this paper, we investigate the well-posedness and the long-time asymptotic behavior for the initial-boundary value problem for multi-term time-fractional diffusion equations, where the time differentiation consists of a finite summation…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…
In this paper we show that the weak representation property of a semimartingale $X$ with respect to a filtration $\mathbb{F}$ is preserved in the progressive enlargement $\mathbb{G}$ by a random time $\tau$ avoiding $\mathbb{F}$-stopping…
We consider the Bachelier model with information delay where investment decisions can be based only on observations from $H>0$ time units before. Utility indifference prices are studied for vanilla options and we compute their non-trivial…
The dynamic concave utility (or the dynamic convex risk measure) of an unbounded endowment is studied and represented as the value process in the unique solution of a backward stochastic differential equation (BSDE) with an unbounded…
We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the…
A differentially private selection algorithm outputs from a finite set the item that approximately maximizes a data-dependent quality function. The most widely adopted mechanisms tackling this task are the pioneering exponential mechanism…
In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion, to which we associate the exponential additive functional $A_{t}=\int _{0}^{t}e^{2B_{s}}ds,\,t\ge 0$. Starting from a simple observation of generalized inverse…
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential equations exhibit a quadratic drift function and a…
With the terminal value $|\xi|$ admitting some given exponential moment, we put forward and prove several existence and uniqueness results for the unbounded solutions of quadratic backward stochastic differential equations whose generators…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.
The function $t \mapsto E_{\alpha}(\lambda t^\alpha)$ is widely regarded as the fractional analogue of the exponential function, yet its algebraic properties remain poorly understood. In particular, standard references lack a rigorous proof…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…