Theory of Probability and Mathematical Statistics

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

Author(s): Selly Kane; Alexander Melnikov
Translated by: The authors
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 78 (2008).
Journal: Theor. Probability and Math. Statist. No. 78 (2009), 75-82.
MSC (2000): Primary 60H30, 62P05, 91B28; Secondary 60J75, 60G44, 91B30
Posted: August 4, 2009
Retrieve article in: PDF

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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Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2000): 60H30, 62P05, 91B28, 60J75, 60G44, 91B30

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: 10.1090/S0094-9000-09-00763-7
PII: S 0094-9000(09)00763-7
Keywords: Constrained market, completion, hedging and pricing, diffusion with jumps, different interest rates
Received by editor(s): 9/JAN/2007
Posted: August 4, 2009
Additional Notes: The paper was supported by the discovery grant NSERC \#261855
Copyright of article: Copyright 2009, American Mathematical Society

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ISSN: 1547-7363(e) 0094-9000(p)

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