2 papers
q-fin.PM2014
Risk-sensitive investment in a finite-factor model
Grzegorz Andruszkiewicz, Mark H. A. Davis, Sébastien Lleo
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution…
q-fin.GN2011
Noise, risk premium, and bubble
Grzegorz Andruszkiewicz, Dorje C. Brody
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signa…