{"title":"跳跃-扩散框架中的遍历侧风险表示","authors":"Calisto Guambe, Lesedi Mabitsela, Rodwell Kufakunesu","doi":"10.1142/S0219024921500151","DOIUrl":null,"url":null,"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.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"1 1","pages":"2150015"},"PeriodicalIF":0.5000,"publicationDate":"2021-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK\",\"authors\":\"Calisto Guambe, Lesedi Mabitsela, Rodwell Kufakunesu\",\"doi\":\"10.1142/S0219024921500151\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":47022,\"journal\":{\"name\":\"International Journal of Theoretical and Applied Finance\",\"volume\":\"1 1\",\"pages\":\"2150015\"},\"PeriodicalIF\":0.5000,\"publicationDate\":\"2021-05-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Theoretical and Applied Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/S0219024921500151\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Theoretical and Applied Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S0219024921500151","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK
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.
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.
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