相关论文: Dynamic exponential utility indifference valuation
In this paper, we approach the problem of finding the zeros of the sum of a maximally monotone operator and a monotone and Lipschitz continuous one in a real Hilbert space via an implicit forward-backward-forward dynamical system with…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
We consider the spatially homogeneous Boltzmann equation for inelastic hard spheres (with constant restitution coefficient $\alpha \in (0,1)$) under the thermalization induced by a host medium with a fixed Maxwellian distribution. We prove…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…
An exponentially convergent numerical method for solving a differential equation with a right-hand fractional Riemann-Liouville time-derivative and an unbounded operator coefficient in Banach space is proposed and analysed for a…
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. We assume that the S-hedge is dynamic…
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L\'{e}vy process. The model is a generalization of the celebrated work of Davis,…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we…
We consider the initial-value problem for a one-dimensional wave equation with coefficients that are positive, constant outside of an interval, and have bounded variation (BV). Under the assumption of compact support of the initial data, we…
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…
We consider the problem of the discrete-time approximation of the solution of a one-dimensional SDE with piecewise locally Lipschitz drift and continuous diffusion coefficients with polynomial growth. In this paper, we study the strong…
In this paper, we consider a class of the Caputo fractional stochastic differential equations of fractional order $\alpha \in (\frac{1}{2},1]$. Our aim is to analyze of the continuous dependence of solutions on the fractional order…
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the application thereof in utility optimization with…
We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…
We present a stability and convergence analysis of the space-time continuous finite element method for the Hamiltonian formulation of the wave equation. More precisely, we prove a continuous dependence of the discrete solution on the data…
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…