scholarly journals Shortfall Risk Minimization in Discrete Time Financial Market Models

2014 ◽  
Vol 5 (1) ◽  
pp. 384-414 ◽  
Author(s):  
N. Frikha
Keyword(s):  
Financial Market ◽  
Discrete Time ◽  
Risk Minimization ◽  
Market Models ◽  
Shortfall Risk

scholarly journals Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Discrete Time ◽  
High Frequency ◽  
Utility Maximization ◽  
Limit Theorems ◽  
Approximate Solutions ◽  
Diffusion Approximations ◽  
Expert Opinions ◽  
Arrival Intensity

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.

scholarly journals Option Pricing Driven by a Telegraph Process with Random Jumps

2012 ◽  
Vol 49 (3) ◽  
pp. 838-849 ◽  
Author(s):  
Oscar López ◽  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Financial Market ◽  
Option Prices ◽  
Martingale Measures ◽  
Market Models ◽  
Telegraph Process ◽  
Equivalent Martingale Measures ◽  
Hedging Strategies ◽  
Random Jumps ◽  
Equivalent Martingale

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

Financial market models with global interactions

2003 ◽  
pp. 81-136
Author(s):  
NEIL F. JOHNSON ◽  
PAUL JEFFERIES ◽  
PAK MING HUI
Keyword(s):  
Financial Market ◽  
Market Models

scholarly journals Financial market models with Lévy processes and time-varying volatility

2008 ◽  
Vol 32 (7) ◽  
pp. 1363-1378 ◽  
Author(s):  
Young Shin Kim ◽  
Svetlozar T. Rachev ◽  
Michele Leonardo Bianchi ◽  
Frank J. Fabozzi
Keyword(s):  
Financial Market ◽  
Lévy Processes ◽  
Levy Processes ◽  
Time Varying ◽  
Market Models
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