This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose the optimal portfolio weight into components that correspond to a collection of fictitious ...

We develop an optimum risk–return hurricane hedge model in a doubly stochastic jump-diffusion economy. The model's concave risk–return trade-off dictates that a higher correlation between hurricane ...

We extend the framework of Leland, who proposed a structural model of rollover debt structure in a Black-Scholes framework.We apply this to the case of a doubleexponential jump-diffusion process, ...

We consider a model where each company's asset value follows a jump-diffusion process and is connected with other companies via global factors. Motivated by the 2011 work of Bush, Hambly, Haworth, Jin ...