An ergodic BSDE risk representation in a jump-diffusion framework

dc.contributor.authorGuambe, Calisto
dc.contributor.authorMabitsela, Lesedi
dc.contributor.authorKufakunesu, Rodwell
dc.contributor.emailcalisto.guambe@up.ac.zaen_US
dc.date.accessioned2022-06-13T11:42:02Z
dc.date.available2022-06-13T11:42:02Z
dc.date.issued2021-05
dc.description.abstractWe 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.departmentMathematics and Applied Mathematicsen_US
dc.description.librarianhj2022en_US
dc.description.urihttp://www.worldscientific.com/loi/ijtafen_US
dc.identifier.citationGuambe, 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.issn0219-0249 (print)
dc.identifier.issn1793-6322 (online)
dc.identifier.other10.1142/S0219024921500151
dc.identifier.urihttps://repository.up.ac.za/handle/2263/85810
dc.language.isoenen_US
dc.publisherWorld Scientific Publishingen_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.subjectForward exponential performanceen_US
dc.subjectMaturity independent risk measureen_US
dc.subjectForward entropic risk measureen_US
dc.subjectJump-diffusionen_US
dc.subjectErgodic backward stochastic differential equationsen_US
dc.subjectLong-term maturity behaviouren_US
dc.titleAn ergodic BSDE risk representation in a jump-diffusion frameworken_US
dc.typePostprint Articleen_US

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