This paper considers the asset price movements in a financial market with a risky asset and a bond. The dynamics of the risky asset, modeled by a marked point process, depend on a stochastic factor, modeled also by a marked point process. The possibility of common jump times with the price is allowed. The problem studied is to determine a strategy maximizing the expected value of a utility function of the hedging error. Two different approaches are considered: an Hamilton Jacobi Bellmann equation is studied for a simplified model and a contraction technique is introduced for a more general model.

Stochastic Control Methods: Hedging in a Market Described by Pure Jump Processes

TARDELLI, PAOLA
2010

Abstract

This paper considers the asset price movements in a financial market with a risky asset and a bond. The dynamics of the risky asset, modeled by a marked point process, depend on a stochastic factor, modeled also by a marked point process. The possibility of common jump times with the price is allowed. The problem studied is to determine a strategy maximizing the expected value of a utility function of the hedging error. Two different approaches are considered: an Hamilton Jacobi Bellmann equation is studied for a simplified model and a contraction technique is introduced for a more general model.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/13293
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? 3
social impact