Optimal Exponential Utility in a Jump Bond Market

DOI10.1080/07362994.2011.532025zbMath1237.91248OpenAlexW2022642423MaRDI QIDQ3081440

Dewen Xiong, Michael Kohlmann

Publication date: 8 March 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2011.532025

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (1)

The exp-UIV for Markets with Partial Information and Complete Information

Cites Work

• Towards a general theory of bond markets
• The minimal entropy martingale measures for geometric Lévy processes
• A semimartingale BSDE related to the minimal entropy martingale measure
• A theory of stochastic integration for bond markets
• Dynamic exponential utility indifference valuation
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• Bond Market Structure in the Presence of Marked Point Processes
• Exponential Hedging and Entropic Penalties

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