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Article
Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy
We employ a simple numerical scheme to compute optimal portfolios and utilities of informed and uninformed investors in a mispriced Carr–Geman–Madan–Yor (CGMY) Lévy market under information asymmetry using ins...
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Article
Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
Impulse control with random reaction periods (ICRRP) is used to derive a country’s optimal foreign exchange (forex) rate intervention policy when the forex market reacts to the interventions. This paper extend...
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Article
On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps
We study a central bank intervention (CBI) problem in the foreign exchange market when the exchange rate follows a jump-diffusion process and show that the optimal CBI policy is a control-band policy. Our main...