The new developments are the SJVJD model with double-uniform jump-amplitude distributions and time-varying market parameters for the optimal portfolio problem. Although unlimited borrowing and ...

We develop a variance reduction technique, based on importance sampling in con- junction with the stochastic Robbins–Monro algorithm, for option prices of jump– diffusion models with stochastic ...

We develop an optimum risk–return hurricane hedge model in a doubly stochastic jump-diffusion economy. The model's concave risk–return trade-off dictates that a higher correlation between hurricane ...