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Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...
A dynamic factor model framework for forecast combination
Combination forecasts principal component regression James-Stein estimation
2014/3/18
A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting,...