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Asset and Liability Management: Jump-Diffusion Case

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

Author

Listed:
  • Mark H. A. Davis
  • Sébastien Lleo

Abstract

The following sections are included:IntroductionFinancial Market, Investment Portfolio and LiabilityFormulation of the Asset and Liability Management ProblemDynamic Programming and the Value FunctionSolving the ALM Problem Under Affine Drift AssumptionsSolving the ALM Problem Under Standard Control AssumptionsAdmissibility of the Optimal Control PolicyFund Separation Theorem

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Asset and Liability Management: Jump-Diffusion Case," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 11, pages 261-304, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0011
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