3 papers
q-fin.PM2022
Before and after default: information and optimal portfolio via anticipating calculus
José A. Salmerón, Giulia Di Nunno, Bernardo D'Auria
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not…
math.OC2022
An Anticipative Markov Modulated Market
Bernardo D'Auria, José A. Salmerón
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the disti…
math.PR2021
Anticipative information in a Brownian-Poissonmarket: the binary information
Bernardo D'Auria, José A. Salmerón
The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financi…