1 citations · 1 across the 3 of their papers we have counts for
4 papers
An injective martingale coupling
David Hobson, Dominykas Norgilas
We give an injective martingale coupling; in particular, given measures and in convex order on such that is continuous, we construct a martingale transport…
Proper solutions for Epstein-Zin Stochastic Differential Utility
Martin Herdegen, David Hobson, Joseph Jerome
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests…
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
David Hobson, Martin Herdegen, Joseph Jerome
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a consta…