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Contribution Details
| Type | Working Paper |
| Scope | Contributions to practice |
| Title | The finite-time horizon/Stochastic interest rate - Jeanblanc-Shiryaev model |
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| Institution | University of Zurich |
| Series Name | NCCR FINRISK Working Paper Series |
| Number | 859 |
| Date | 2013 |
| Abstract Text | In this paper the optimal consumption strategy of an investor who owns a fixed sized risky project is studied. The cash flows generated by the risky project follow an arithmetic Brownian motion, and the investor earns interest on cash reserves. The short-rate may be stochastic, and the time horizon may be finite. This results in a family of Hamilton-Jacobi-Bellman variational inequalities that include PDEs whose solutions must be approximated numerically. To do so an finite element approximation and a time marching scheme are employed. |
| Official URL | https://www.zora.uzh.ch/93704/ |
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| Other Identification Number | merlin-id:9226 |
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