CPDO with finite termination: maximal return under cash-in and cash-out conditions

DOI10.1017/S1446181115000449MaRDI QIDQ5369441zbMATH OpenOpenAlexFDO

Authors Xiao-Li Yang, Jin Liang, Yuan Wu

Publication date 17 October 2017

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446181115000449

zbMATH Keywords

cash-incash-outCPDOHJB equationoptimal leverage

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for boundary value problems involving PDEs (65N06) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A verification of the expected utility calibration theorem
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 2110605 (Why is no real title available?)
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Pricing formulae for constant proportion debt obligation notes: the Laplace transform technique
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Cited in

(2)

• Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return
• Theoretical solution versus industry standard: Optimal leverage function for CPDOs

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