IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814730778_0009.html
   My bibliography  Save this book chapter

Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes

In: RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014

Author

Listed:
  • Kazutoshi Yamazaki

Abstract

We study the control band policy arising in the context of cash balance management. A policy is specified by four parameters (d, D, U, u). The controller pushes the process up to D as soon as it goes below d and pushes down to U as soon as it goes above u, while he does not intervene whenever it is within the set (d, u). We focus on the case when the underlying process is a spectrally one-sided Lévy process and obtain the expected fixed and proportional controlling costs as well as the holding costs under the band policy.

Suggested Citation

  • Kazutoshi Yamazaki, 2016. "Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes," World Scientific Book Chapters, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata (ed.), RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, chapter 9, pages 199-215, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814730778_0009
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814730778_0009
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814730778_0009
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kazutoshi Yamazaki, 2017. "Phase-type Approximation of the Gerber-Shiu Function," Papers 1701.02798, arXiv.org.
    2. Yonit Barron, 2023. "Integrating Replenishment Policy and Maintenance Services in a Stochastic Inventory System with Bilateral Movements," Mathematics, MDPI, vol. 11(4), pages 1-35, February.
    3. Kazutoshi Yamazaki, 2017. "Inventory Control for Spectrally Positive Lévy Demand Processes," Mathematics of Operations Research, INFORMS, vol. 42(1), pages 212-237, January.
    4. Kazutoshi Yamazaki, 2016. "Optimality of two-parameter strategies in stochastic control," Papers 1605.04995, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814730778_0009. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.