109 citations · 113 across the 3 of their papers we have counts for
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math.PR2009★ 109 cited
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…
q-fin.PR2009★ 2 cited
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…
q-fin.CP2009★ 2 cited
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…