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On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion


Authors: Selly Kane and Alexander Melnikov
Translated by: The authors
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 78 (2008).
Journal: Theor. Probability and Math. Statist. 78 (2009), 75-82
MSC (2000): Primary 60H30, 62P05, 91B28; Secondary 60J75, 60G44, 91B30
DOI: https://doi.org/10.1090/S0094-9000-09-00763-7
Published electronically: August 4, 2009
MathSciNet review: 2446850
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Abstract | References | Similar Articles | Additional Information

Abstract: This paper deals with the problems of investment and shortfall risk minimization in the framework of a two-factor diffusion model with jumps and with different credit and deposit rates. The optimal strategies are derived by means of auxiliary completions of the initial market.


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Additional Information

Selly Kane
Affiliation: Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, T6G2G1 Canada
Email: skane@ualberta.ca

Alexander Melnikov
Affiliation: Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, T6G2G1 Canada
Email: melnikov@ualberta.ca

DOI: https://doi.org/10.1090/S0094-9000-09-00763-7
Keywords: Constrained market, completion, hedging and pricing, diffusion with jumps, different interest rates
Received by editor(s): January 9, 2007
Published electronically: August 4, 2009
Additional Notes: The paper was supported by the discovery grant NSERC #261855
Article copyright: © Copyright 2009 American Mathematical Society

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