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DEFAULTABLE ASSET MANAGEMENT WITH INCOMPLETE
INFORMATION
by
Huanhuan Wang
A Dissertation Presented to the
FACULTY OF THE USC GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(APPLIED MATHEMATICS)
May 2013
Copyright 2013 Huanhuan Wang
Object Description
| Title | Defaultable asset management with incomplete information |
| Author | Wang, Huanhuan |
| Author email | howardw913@gmail.com;howardw913@gmail.com |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Applied Mathematics |
| School | College of Letters, Arts And Sciences |
| Date defended/completed | 2012-05-14 |
| Date submitted | 2013-02-01 |
| Date approved | 2013-02-01 |
| Restricted until | 2013-02-01 |
| Date published | 2013-02-01 |
| Advisor (committee chair) | Ma, Jin |
| Advisor (committee member) |
Zhang, Jianfeng Zapatero, Fernando |
| Abstract | We consider a market where asset prices could be affected by multiple defaults along with possible factors including frailty. The aim of an investor is to maximize the expected utility of the terminal wealth, based on the observed data of the underlying asset(s) and the default history up to the current time. The main purpose is then to determine the conditional intensity of the future defaults, given the observed stock prices and the past defaults, without using the so-called \density hypothesis"". The problem is naturally reduced to a nonlinear filtering problem, for which the so-called the H-hypothesis is known to fail. We show that the problem can be solved dynamically via a system of Zakai equations for the conditional densities between and at consecutive defaults. A related BSDE with jumps that has quadratic growth in both continuous and jump martingale integrands will also be studied, as a by product of the utility optimization problem. |
| Keyword | BSDE; density; filtering; intensity; utility maximization; Zakai equation |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Provenance | Electronically uploaded by the author |
| Type | texts |
| Legacy record ID | usctheses-m |
| Contributing entity | University of Southern California |
| Rights | Wang, Huanhuan |
| Physical access | The author retains rights to his/her dissertation, thesis or other graduate work according to U.S. copyright law. Electronic access is being provided by the USC Libraries in agreement with the author, as the original true and official version of the work, but does not grant the reader permission to use the work if the desired use is covered by copyright. It is the author, as rights holder, who must provide use permission if such use is covered by copyright. The original signature page accompanying the original submission of the work to the USC Libraries is retained by the USC Libraries and a copy of it may be obtained by authorized requesters contacting the repository e-mail address given. |
| Repository name | University of Southern California Digital Library |
| Repository address | USC Digital Library, University of Southern California, University Park Campus MC 7002, 106 University Village, Los Angeles, California 90089-7002, USA |
| Repository email | cisadmin@dots.usc.edu |
| Archival file | uscthesesreloadpub_Volume6/etd-WangHuanhu-1421.pdf |
Description
| Title | Page 1 |
| Contributing entity | University of Southern California |
| Repository email | cisadmin@dots.usc.edu |
| Full text | DEFAULTABLE ASSET MANAGEMENT WITH INCOMPLETE INFORMATION by Huanhuan Wang A Dissertation Presented to the FACULTY OF THE USC GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (APPLIED MATHEMATICS) May 2013 Copyright 2013 Huanhuan Wang |
