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(Research report / Forskningsrapport, 2011)
We study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then ...
(Research report / Forskningsrapport, 2011)
In an L∞-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then applied to the study of price ...
(Research report / Forskningsrapport, 2011)
In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We employ the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives under both ...
(Research report / Forskningsrapport, 2011)
In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic di erential equation with jumps. This problem can be written as a stochastic delayed di erential game. We suggest a maximum ...
(Research report / Forskningsrapport, 2011)
We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial di erential equations with jumps (ABSPDEJs). We then apply our results to study a time-advanced backward type of stochastic ...
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
Climate change will affect the insurance industry. We develop a Bayesian hierarchical statistical approach to explain and predict insurance losses due to weather events at a local geographical scale. The number of ...
(Research report / Forskningsrapport, 2011)
The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders ...
(Research report / Forskningsrapport, 2011)
(Research report / Forskningsrapport, 2011)
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (zero-sum) stochastic di erential games of forward-backward stochastic di erential equations. We prove general stochastic ...