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An Ergodic Bsde Risk Representation In A Jump-Diffusion Framework

Author

Listed:
  • CALISTO GUAMBE

    (Department of Mathematics and Applied Mathematics, University of Pretoria, Pretoria, 0002, South Africa)

  • LESEDI MABITSELA

    (Department of Mathematics and Applied Mathematics, University of Pretoria, Pretoria, 0002, South Africa)

  • RODWELL KUFAKUNESU

    (Department of Mathematics and Applied Mathematics, University of Pretoria, Pretoria, 0002, South Africa)

Abstract

We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (2019) in the diffusion case. We also study the behavior of a forward entropic risk measure under jumps when a financial position is held for a longer maturity.

Suggested Citation

  • Calisto Guambe & Lesedi Mabitsela & Rodwell Kufakunesu, 2021. "An Ergodic Bsde Risk Representation In A Jump-Diffusion Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 1-28, May.
    • Handle: RePEc:wsi:ijtafx:v:24:y:2021:i:03:n:s0219024921500151
    DOI: 10.1142/S0219024921500151
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