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

Kane, Selly; Melnikov, Alexander

doi:10.1090/S0094-9000-09-00763-7

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
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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