arXiv subjects

David Woodford

Publications and source records attributed to David Woodford.

2 recordsLinked to original sources

arXiv2020

On finiteness and tails of perpetuities under a Lamperti-Kiu MAP

Consider a Lamperti-Kiu Markov additive process $(J_t,ξ_t:t\geq0)$ on $\{+,-\}\times\mathbb{R}\cup\infty$ where $J$ is the modulating Markov chain component. First, we study the finiteness of the exponential functional and then consider its moments and tail asymptotics under Cramer's condition. In the strong subexponential case we determine the subexponential tails of the exponential functional under some further assumptions.

math.PR↗

arXiv2019

A comparison of European and Asian options under Markov additive processes

We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential equation methods to value European options under a such a model. Finally, a comparison is made between the price of a European call option and that of an Asian call option.

math.PR↗