英文标题：
《Utility Maximisation for Exponential Levy Models with option and
  information processes》
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作者：
Lioudmila Vostrikova
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最新提交年份：
2017
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英文摘要：
  We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the expressions of information processes figured in maximum utility formula. As applications, we consider Black-Scholes models with correlated Brownian Motions, and also Black-Scholes models with jump part represented by Poisson process.
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中文摘要：
我们考虑了指数Levy模型和HARA效用在投资组合中存在非流动资产时的期望效用最大化问题。这种非流动性资产是由一种欧洲式期权对另一种与第一种风险资产相关的风险资产进行建模的。在Levy过程的一些假设下，我们给出了最大效用公式中的信息过程的表达式。作为应用，我们考虑了具有相关布朗运动的Black-Scholes模型，以及跳跃部分由泊松过程表示的Black-Scholes模型。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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