Floyd B. Hanson

University of Illinois at Chicago

Professor Emeritus

1200 W Harrison St

Chicago, IL 60607

United States

http://www.math.uic.edu/~hanson

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 49,718

in Total Papers Downloads

958

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Stochastic Processes and Control for Jump-Diffusions

Number of pages: 44 Posted: 22 Oct 2007
Floyd B. Hanson
University of Illinois at Chicago
Downloads 401 (82,574)

Abstract:

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Jump-diffusions, Wiener processes, Poisson processes, random jump amplitudes, stochastic differential equations, stochastic chain rules, stochastic optimal control, financial applications, bio-medical applications

2.

Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory

Number of pages: 22 Posted: 04 Jan 2008 Last Revised: 15 Jul 2008
Floyd B. Hanson
University of Illinois at Chicago
Downloads 314 (109,041)

Abstract:

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optimal-portfolio problem, stochastic-volatility, jump-diffusion, finite markets, jump-bankruptcy condition, double-uniform jump-amplitudes, non-negative-variance verification

3.

Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility

Number of pages: 26 Posted: 30 Jun 2011
Floyd B. Hanson
University of Illinois at Chicago
Downloads 166 (202,112)
Citation 1

Abstract:

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optimal-portfolio problem, stochastic-jump-volatility, jump-diffusion; finite markets, jump-bankruptcy condition, double-exponential jump-amplitudes

4.

Risk-Neutral Option Pricing for Log-Uniform Jump-Amplitude Jump-Diffusion Model

Number of pages: 44 Posted: 28 Jan 2013
Floyd B. Hanson and Zongwu Zhu
University of Illinois at Chicago and University of Illinois at Chicago
Downloads 77 (349,697)
Citation 2

Abstract:

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option pricing, jump-diffusion model, Monte Carlo method, antithetic variates, optimal control variates, variance reduction