109 citations · 113 across the 3 of their papers we have counts for
6 papers
Portfolio choice with jumps: A closed-form solution
Yacine Aït-Sahalia, Julio Cacho-Diaz, T. R. Hurd
We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on…
Credit risk modeling using time-changed Brownian motion
T. R. Hurd
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps an…
A Fourier transform method for spread option pricing
T. R. Hurd, Zhuowei Zhou
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximat…
Indifference pricing and hedging in stochastic volatility models
M. R. Grasselli, T. R. Hurd
We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the ind…
Wiener Chaos and the Cox-Ingersoll-Ross model
M. R. Grasselli, T. R. Hurd
In this we paper we recast the Cox--Ingersoll--Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the ``squ…
A Monte Carlo method for exponential hedging of contingent claims
M. R. Grasselli, T. R. Hurd
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility…