54 citations · 114 across the 18 of their papers we have counts for
19 papers
Optimal stopping of Gauss-Markov bridges
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundar…
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion often adopted by practitioners…
Before and after default: information and optimal portfolio via anticipating calculus
José A. Salmerón, Giulia Di Nunno, Bernardo D'Auria
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not…
An Anticipative Markov Modulated Market
Bernardo D'Auria, José A. Salmerón
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the disti…
Anticipative information in a Brownian-Poissonmarket: the binary information
Bernardo D'Auria, José A. Salmerón
The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financi…
Optimal stopping of an Ornstein-Uhlenbeck bridge
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bri…