In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut–Elworthy–Li (BEL) formula in Elworthy and Li (1994). We construct a jump process using a...

The main objective of this study is to determine a lease agreement to finance an investment project and a solution for managing credit risk. This study investigates three types of contingent leases to reduce the costs associated with bankruptcy and compensate for the lessor's position. A leasing...

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...