Showing items 1 - 6 of 6.

Authors: Meng, Hui | Siu, Tak Kuen

Date: 2014

Subject Keyword: 150200 Banking, Finance and Investment | Asset allocation | Convex risk measures | Pure jump processes | Regime switching | Stochastic differential games

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/302975

Description: We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the ... More

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Authors: Elliott, Robert J | Siu, Tak Kuen

Date: 2013

Subject Keyword: 010200 Applied Mathematics | 010400 Statistics | American-style contingent claims | Convex risk measures | Obstacle problems | Optimal stopping-control problem | Reflected BSDEs | Viscosity solutions

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/267488

Description: We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs) ... More

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Authors: Elliott, Robert J | Siu, Tak Kuen

Date: 2012

Subject Keyword: 010200 Applied Mathematics | 010400 Statistics | Backward stochastic differential equations | Clark-Ocone Representation | Convex risk measures | Derivative Securities | Malliavin Derivatives

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/197395

Description: A backward stochastic differential equation (BSDE) approach is used to evaluate convex risk measures for unhedged positions of derivative securities in a continuous-time economy. The convex risk measu ... More

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Authors: Elliott, Robert J | Siu, Tak Kuen

Date: 2012

Subject Keyword: 010200 Applied Mathematics | Convex risk measures | Markovian forward-backward stochastic differential equations | Martingale representation | Special semimartingale | Stochastic flows

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/200418

Description: Markovian forward-backward stochastic differential equations, (MFBSDEs), are discussed by exploiting techniques of stochastic flows. Using martingale representation, a differentiation rule, stochastic ... More

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Authors: Elliott, Robert J | Siu, Tak Kuen

Date: 2010

Subject Keyword: 150200 Banking, Finance and Investment | Option pricing | Stochastic volatility model | Indifference prices | Convex risk measures | Stochastic differential games | Dynamic programming | Maximum principle

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/348044

Description: This paper considers a risk-based approach for indifference valuation of contingent claims in the context of a continuous-time stochastic volatility model. Since the market in the model is incomplete ... More

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Authors: Elliott, Robert J | Siu, Tak Kuen

Date: 2009

Subject Keyword: 010100 Pure Mathematics | 010200 Applied Mathematics | Portfolio risk minimization | Stochastic differential game | Convex risk measures | Regime-switching HJB equation | Change of measures | Financial risk | Macro-economic risk

Language: eng

Resource Type: journal article

Identifier: http://hdl.handle.net/1959.14/138019

Description: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state, Markov chain. We interpret the states of the cha ... More

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