Joseph Jerome

University of Warwick - Department of Statistics

Coventry, CV47AL

United Kingdom

http://https://warwick.ac.uk/fac/sci/statistics/staff/research_students/jerome/

  • University of Warwick - Department of Statistics

SCHOLARLY PAPERS

3

DOWNLOADS

156

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

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1.

An Elementary Approach to the Merton Problem

Paper accepted to Mathematical Finance.
Number of pages: 21 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 121 (318,788)
Citation 2

Abstract:

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Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change

2.

The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility

Number of pages: 41 Posted: 16 Jul 2021
Joseph Jerome, Martin Herdegen and David Hobson
University of Warwick - Department of Statistics, University of Warwick - Department of Statistics and University of Warwick
Downloads 29 (637,273)

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Epstein--Zin stochastic differential utility, lifetime investment and consumption, backward stochastic differential equations, optional strong supermartingales.

3.

Proper solutions for Epstein–Zin Stochastic Differential Utility

Number of pages: 29 Posted: 15 Dec 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 6 (832,157)

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BSDEs, Epstein--Zin preferences, investment-consumption problem, proper solutions.