Oleksii Mostovyi

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We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dual problems are finite. Thesis Advisor: Professor Dmitry(More)
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale, an explicit first-order expansion formula for the power investor’s value function seen as a function of the underlying market price of risk process is provided and its second-order error is quantified. Two specific calibrated(More)
Consider least squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (Rev Financial Studies 14:113–147, 2001) for pricing American style securities. This algorithm is based on the projection of the value of continuation onto a certain set of basis functions via the least squares problem. We analyze the stability of the algorithm(More)
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