Utility maximization in a pure jump model with partial observation

DOI10.1017/S0269964810000239MaRDI QIDQ5392602zbMATHOpenAlexFDO

Authors Paola Tardelli

Publication date 13 April 2011

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964810000239

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Utility theory (91B16) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
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• A solution approach to valuation with unhedgeable risks
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• Calcul stochastique et problèmes de martingales
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Exponential Hedging and Entropic Penalties
• Exponential utility maximization under partial information
• Filtering on a partially observed ultra-high-frequency data model
• Introduction to a theory of value coherent with the no-arbitrage principle
• On the Existence of Minimax Martingale Measures
• On the minimal entropy martingale measure.
• Optimal investment in incomplete markets when wealth may become negative.
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
• Risk minimization with incomplete information in a model for high-frequency data
• Risk-neutral measures and pricing for a pure jump price process
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets

Cited in

(7)

• On some determinants with Legendre symbol entries
• Risk-neutral measures and pricing for a pure jump price process
• Partially informed investors: hedging in an incomplete market with default
• Hedging and utility valuation of a defaultable claim driven by Hawkes processes
• Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS

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