We develop a jump-diffution model for a guarantee-investment combination financing mode (G-I mode) that is recently popular in financial practice. We assume that a borrower has exclusively an option to invest in a project in two stages. The project's cash flow follows a double exponential...

The paper considers the option of an investor to invest in a project that generates perpetual cash flows, of which the drift parameter is unobservable. The investor invests in a liquid financial market to partially hedge cash flow risk and estimation risk. We derive two 3-dimensional non-linear...

The existing risk measures are developed mainly for financial institutions that are too big to fail. This paper proposes a hedging-based utility risk measure (HBU) customized for individual investors requiring a comprehensive risk assessment for financial products. We show that HBU is a convex...

The existing risk measures are developed mainly for financial institutions that are too big to fail. This paper proposes a hedging-based utility risk measure (HBU) customized for individual investors requiring a comprehensive risk assessment for financial products. We show that HBU is a convex...

We consider an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap. The entrepreneur is exposed to macroeconomic risk as well as...

This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...