109 citations · 113 across the 3 of their papers we have counts for
4 papers · 1 filter
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…
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…