Utility maximization in a pure jump model with partial observation

DOI10.1017/S0269964810000239MaRDI QIDQ5392602zbMATH OpenOpenAlexFDO

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)

Recommendations

• On some determinants with Legendre symbol entries
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
• Utility maximization in a jump market model
• Optimal investment problems with marked point processes
• Risk-neutral measures and pricing for a pure jump price process

Cites work

• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• A solution approach to valuation with unhedgeable risks
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• 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
• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• 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
• Partially informed investors: hedging in an incomplete market with default
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
• Risk-neutral measures and pricing for a pure jump price process
• Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
• 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

This page was built for publication: Utility maximization in a pure jump model with partial observation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5392602)