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Found 8 papers, 0 papers with code
Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent
We, also, consider representative examples for both forward performance criteria with random endowment and forward OCE, and for the case of exponential criteria, we investigate the connection between forward OCE and forward entropic risk measures.
Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
We consider a new framework of predictable relative forward performance processes (PRFPP) to study portfolio management within a competitive environment.
Callable convertible bonds under liquidity constraints and hybrid priorities
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals.
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market.
A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors.
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility.
Optimal investment and consumption with forward preferences and uncertain parameters
This paper studies robust forward investment and consumption preferences within a zero-volatility context.
Analysis of the optimal exercise boundary of American put options with delivery lags
A make-your-mind-up option is an American derivative with delivery lags.
