Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
نویسندگان
چکیده
منابع مشابه
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Abstract. In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem in a factor model [SIAM J. Fin. Math. 2 (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and investment constraints. In this case, the HJB equation is a partial integro-differential equation (PIDE). We are able to show th...
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Acknowledgements I would like to extend my gratitude to my supervisor Sam Howison for his guidance and advice throughout the preparation and writing of this dissertation. I would also like to thank Christoph Reisinger for his advice whilst Dr Howison was away. Finally and most importantly I would like to thank my parents for their continued emotional and financial support, without which I would...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2013
ISSN: 0363-0129,1095-7138
DOI: 10.1137/110825881