m-Double Poisson Lévy markets

DOI10.1080/14697688.2020.1747633MaRDI QIDQ5139259zbMATH OpenOpenAlexFDO

Authors

Publication date 7 December 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1747633

zbMATH Keywords

\(m\)-double Poisson marketsasymmetric informationinstantaneous centralized moments of returnsmispricingoptimal portfolio

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Recommendations

• Sufficient Poisson jump diffusion market models revisited
• On duality principle in exponentially Lévy market
• Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
• On Lévy processes, Malliavin calculus and market models with jumps
• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
• Poissonian potential measures for Lévy risk models
• Doubly reflected BSDEs driven by a Lévy process
• A stochastic differential equation driven by Poisson random measure and its application in a duopoly market
• Multivariate marked Poisson processes and market related multidimensional information flows

Cites work

• A discontinuous mispricing model under asymmetric information
• A jump model for fads in asset prices under asymmetric information
• A jump-diffusion model for option pricing
• A mispricing model of stocks under asymmetric information
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A solution approach to valuation with unhedgeable risks
• A theory of volatility spreads
• Applied stochastic control of jump diffusions.
• Asymmetric information in fads models
• Consumption-based asset pricing with higher cumulants
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Handbooks in operations research and management science: Financial engineering
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Modelling fundamental analysis in portfolio selection
• Naive traders and mispricing in prediction markets
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• Optimal portfolio allocation with higher moments
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice with jumps: a closed-form solution
• Portfolio selection with higher moments
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints

Cited in

(4)

• Double Telegraph Processes and Complete Market Models
• A discontinuous mispricing model under asymmetric information
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

This page was built for publication: m-Double Poisson Lévy markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139259)