Optimal exponential utility in a jump bond market

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XIONG, Dewen, Michael KOHLMANN, 2010. Optimal exponential utility in a jump bond market. In: Stochastic Analysis and Applications. 29(1), pp. 78-105. ISSN 0736-2994

@article{Xiong2010Optim-832, title={Optimal exponential utility in a jump bond market}, year={2010}, doi={10.1080/07362994.2011.532025}, number={1}, volume={29}, issn={0736-2994}, journal={Stochastic Analysis and Applications}, pages={78--105}, author={Xiong, Dewen and Kohlmann, Michael} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/832"> <dc:rights>deposit-license</dc:rights> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:02Z</dc:date> <dc:creator>Xiong, Dewen</dc:creator> <dcterms:abstract xml:lang="eng">We consider the optimal exponential utility in a bond market with jumps basing on a model similar to Bjork et al. [4], which is arbitrage free. Similar to the normalized integral with respect to the cylindrical martingale first introduced in Mikulevicius and Rozovskii [13], we introduce the (, Q0)-normalized martingale and local (, Q0)-normalized martingale. For a given maturity T0 ∈ [0, T*], we describe the minimal entropy martingale (MEM) based on [T0, T*] by a backward semimartingale equation (BSE) w.r.t. the (, Q0)-normalized martingale. Then we give an explicit form of the optimal approximate wealth to the optimal exp-utility problem by making use of the solution of the BSE. Finally, we describe the dynamics of the exp utility indifference valuation of a bounded contingent claim H ∈ L∞(FT0) by another BSE under the minimal entropy martingale measure in the incomplete market.</dcterms:abstract> <dc:creator>Kohlmann, Michael</dc:creator> <dcterms:issued>2010</dcterms:issued> <dcterms:bibliographicCitation>Stochastic analysis and applications ; 29 (2010), 1. - S. 78-105</dcterms:bibliographicCitation> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:49:02Z</dcterms:available> <dc:contributor>Xiong, Dewen</dc:contributor> <dc:contributor>Kohlmann, Michael</dc:contributor> <dcterms:title>Optimal exponential utility in a jump bond market</dcterms:title> <dc:language>eng</dc:language> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/832"/> </rdf:Description> </rdf:RDF>

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