13 citations · 50 across the 28 of their papers we have counts for
32 papers
Dynamic minimisation of the commute time for a one-dimensional diffusion
Ma. Elena Hernández-Hernández, Saul Jacka
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with in…
Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot
Puru Gupta, Saul D. Jacka
We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic inte…
The Support and Resistance Line Method: An Analysis via Optimal Stopping
Vicky Henderson, Saul Jacka, Ruiqi Liu +1
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a…
Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages
Kevin Engelbrecht, Saul Jacka
We provide a practical superhedging strategy for the pricing and hedging of the No-Negative-Equity-Guarantee (NNEG) found in Equity-Release Mortgages (ERMs), or reverse mortgages,…
A generalisation of the Burkholder-Davis-Gundy inequalities
Saul Jacka, Ma. Elena Hérnandez-Hérnandez
{Consider a càdlàg local martingale with square brackets . In this paper, we provide upper and lower bounds for expectations of the type , for any…
Martingale approach to control for general jump processes
Ma. Elena Hernández-Hernández, Saul Jacka, Aleksandar Mijatović
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework…