JavaScript is disabled for your browser. Some features of this site may not work without it.
We are excited to announce that the repository will soon undergo an upgrade, featuring a new look and feel along with several enhanced features to improve your experience. Please be on the lookout for further updates and announcements regarding the launch date. We appreciate your support and look forward to unveiling the improved platform soon.
| dc.contributor.author | Guambe, Calisto
|
|
| dc.contributor.author | Mabitsela, Lesedi
|
|
| dc.contributor.author | Kufakunesu, Rodwell
|
|
| dc.date.accessioned | 2022-06-13T11:42:02Z | |
| dc.date.available | 2022-06-13T11:42:02Z | |
| dc.date.issued | 2021-05 | |
| dc.description.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 in the diffusion case. We also study the behaviour of a forward entropic risk measure under jumps when a financial position is held for a longer maturity. | en_US |
| dc.description.department | Mathematics and Applied Mathematics | en_US |
| dc.description.librarian | hj2022 | en_US |
| dc.description.uri | http://www.worldscientific.com/loi/ijtaf | en_US |
| dc.identifier.citation | Guambe, C., Mabitsela, L. & Kufakunesu, R. 2021, 'An ergodic BSDE risk representation in a jump-diffusion framework', International Journal of Theoretical and Applied Finance, vol. 24, no. 3, art. 2150015, doi: 10.1142/S0219024921500151. | en_US |
| dc.identifier.issn | 0219-0249 (print) | |
| dc.identifier.issn | 1793-6322 (online) | |
| dc.identifier.other | 10.1142/S0219024921500151 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/85810 | |
| dc.language.iso | en | en_US |
| dc.publisher | World Scientific Publishing | en_US |
| dc.rights | © 2021 World Scientific Publishing Co. Electronic version of an article published as International Journal of Theoretical and Applied Finance, vol. 24, no. 3, art. 2150015, 2021, doi: 10.1142/S0219024921500151. The original publication is available at : http://www.worldscinet.comijtaf. | en_US |
| dc.subject | Forward exponential performance | en_US |
| dc.subject | Maturity independent risk measure | en_US |
| dc.subject | Forward entropic risk measure | en_US |
| dc.subject | Jump-diffusion | en_US |
| dc.subject | Ergodic backward stochastic differential equations | en_US |
| dc.subject | Long-term maturity behaviour | en_US |
| dc.title | An ergodic BSDE risk representation in a jump-diffusion framework | en_US |
| dc.type | Postprint Article | en_US |
