Modelling with Jump Processes and Optimal Control

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F09%3A10103336" target="_blank" >RIV/00216208:11320/09:10103336 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Modelling with Jump Processes and Optimal Control

Original language description

Classical Merton model assumest hat an asset is modelled by Brownian motion or geometric Brownian motion. However, these models lack some empirical properties of usual financial series. If jumps are allowed into the model, it becomes much more appropriate. In this note, jump processes are briefly introduced. Subsequently, the impact of jumps on the optimal consumption and portfolio choice is studied. Theoretical formulas of optimal values are presented and finally, a numerical study on real data is performed with rather notable results.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

WDS 09 Proceedings of Cintrubuted papers, Part I

ISBN

978-80-7378-101-9

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

125-130

Publisher name

Matfyzpress

Place of publication

Praha

Event location

Praha

Event date

Jun 2, 2009

Type of event by nationality

CST - Celostátní akce

UT code for WoS article

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