This paper considers the robust equilibrium reinsurance and investment strategies for an
ambiguity-averse insurer under a dynamic mean–variance criterion. The insurer is allowed …

This paper includes a marked Hawkes process in the original Heath–Jarrow–Morton (HJM)
setup and investigates the impact of this assumption on the pricing of the popular vanilla …

This paper presents a valuation of VIX options employing a Hawkes jump-diffusion model
that captures the clustering pattern of jumps observed extensively in the financial markets. In …

We consider a mean-variance portfolio selection problem in a financial market with
contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by …

This paper studies the hedging problem of unit-linked life insurance contracts in an
incomplete market presence of self-exciting (clustering) effect, which is described by a …

In this article, we consider zero-coupon bond pricing problems for the stochastic interest rate
model with clustering effects of self-exciting jumps. We first develop the evolution of the …

In this paper, we derive the Partial Differential Bond Price Equation (PDBPE) by using Ito's
Lemma to determine the pricing of bond on term-structure of interest rate (TSIR) model with …

요 약본 논문에서는 점프 항을 포함하는 이자율 기간구조 모형의 채권 가격을 결정하기 위하여
이토의 보조정리 (Ito's Lemma) 를 적용하여 채권가격편미분방정식 (Partial Differential Bond …

In this paper, we deal with two pricing of bond options using the relationship between the
forward rate model and the Libor rate model. First, we derive a formula for obtaining …

In this paper, we first introduce a general self-exciting model with affine structures and some
distributional properties, such as the Laplace transforms, first and second conditional …