S. Cawston

activity

20092011

most cited

F

-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

1 citations · 2 across the 4 of their papers we have counts for

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math.PR2010

An $f$ -divergence approach for optimal portfolios in exponential Levy models

S. Cawston, L. Vostrikova

We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to $f$ -divergence minimal martingale m…

q-fin.PM2010★ 1 cited

$F$ -divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

S. Cawston, L. Vostrikova

We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we des…

An f-divergence approach for optimal portfolios in exponential Levy models

F-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

An $f$ -divergence approach for optimal portfolios in exponential Levy models

$F$ -divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point