Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Monoyios, Michael"'
Autor:
Monoyios, Michael, Mostovyi, Oleksii
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint distortions i
Externí odkaz:
http://arxiv.org/abs/2208.09895
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that can terminate randomly at an exponentially distributed time, independ
Externí odkaz:
http://arxiv.org/abs/2011.00732
Autor:
Monoyios, Michael
We develop a duality theory for the problem of maximising expected lifetime utility from inter-temporal wealth over an infinite horizon, under the minimal no-arbitrage assumption of No Unbounded Profit with Bounded Risk (NUPBR). We use only deflators
Externí odkaz:
http://arxiv.org/abs/2009.00972
Autor:
Monoyios, Michael
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local) martingale deflat
Externí odkaz:
http://arxiv.org/abs/2006.04687
Autor:
Monoyios, Michael1 (AUTHOR), Mostovyi, Oleksii2 (AUTHOR) oleksii.mostovyi@uconn.edu
Publikováno v:
Mathematical Finance. Oct2024, Vol. 34 Issue 4, p1263-1290. 28p.
We analyse the optimal exercise of an executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed random time independent of the Brownian motion driving the stock. Two a
Externí odkaz:
http://arxiv.org/abs/1709.10141
Autor:
Monoyios, Michael
We develop a technique based on Malliavin-Bismut calculus ideas, for asymptotic expansion of dual control problems arising in connection with exponential indifference valuation of claims, and with minimisation of relative entropy, in incomplete marke
Externí odkaz:
http://arxiv.org/abs/1209.6497
This paper has been withdrawn by the authors pending corrections.
Comment: This paper has been withdrawn
Comment: This paper has been withdrawn
Externí odkaz:
http://arxiv.org/abs/0911.3117
Autor:
Davey, Ashley1 (AUTHOR), Monoyios, Michael2 (AUTHOR), Zheng, Harry1 (AUTHOR) h.zheng@imperial.ac.uk
Publikováno v:
Mathematical Finance. Oct2021, Vol. 31 Issue 4, p1275-1314. 40p.
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