Modelling with Jump Processes and Optimal Control

Kód výsledku v 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>
Výsledek na webu
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Jazyk výsledku
angličtina
Název v původním jazyce
Modelling with Jump Processes and Optimal Control
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Modelling with Jump Processes and Optimal Control
Popis výsledku anglicky
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.

Rok uplatnění
2009
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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