6 papers
Dynamic Convex Duality in Constrained Utility Maximization
Yusong Li, Harry Zheng
In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary…
A robust algorithm and convergence analysis for static replications of nonlinear payoffs
Jingtang Ma, Dongya Deng, Harry Zheng
In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of conver…
Intensity Process for a Pure Jump Lévy Structural Model with Incomplete Information
Xin Dong, Harry Zheng
In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset…
On Pricing Basket Credit Default Swaps
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the…
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
Baojun Bian, Sheng Miao, Harry Zheng
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily d…
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Guoping Xu, Harry Zheng
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with syste…