Suchergebnisse - "Jump-diffusive processes"
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Dynamic Asset Allocation with Default and Systemic Risks
ISBN: 3319613189, 9783319613185ISSN: 0884-8289, 2214-7934Veröffentlicht: Cham Springer International Publishing 2018Veröffentlicht in Handbook of Recent Advances in Commodity and Financial Modeling (2018)“… Systemic risk breeds default risk. I investigate the optimal portfolio implications of their joint presence for non-myopic investors in arbitrage-free markets …”
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On Jump-Diffusive Driving Noise Sources: Some Explicit Results and Applications
ISSN: 1387-5841, 1573-7713Veröffentlicht: New York Springer US 15.09.2019Veröffentlicht in Methodology and computing in applied probability (15.09.2019)“… We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang- m …”
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Journal Article