AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2021-05-17 DOI:10.1142/S0219024921500151

Calisto Guambe, Lesedi Mabitsela, Rodwell Kufakunesu

引用次数: 1

Abstract

We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (2019) in the diffusion case. We also study the behavior of a forward entropic risk measure under jumps when a financial position is held for a longer maturity.

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跳跃-扩散框架中的遍历侧风险表示

在跳跃扩散框架下，我们使用遍历后向随机微分方程的理论来考虑前熵风险测度的表示。我们的论文可以被视为Chong等人所考虑的工作的延伸。（2019）在扩散情况下。我们还研究了当金融头寸持有期限较长时，前熵风险度量在跳跃下的行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.