In this paper we analyse a market where the risky assets follow defaultable exponential additive processes, with coefficients depending on the default state of the assets. In this market we show that, when an investor wants to maximize a utility function which is logarithmic on both his/her...

We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite...

We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the 'implied Sharpe...

We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a Levy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent Levy measure, local stochastic volatility and have a local stochastic default intensity....

We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for both the buyer's and seller's indifference price. For...