ON INVESTMENT AND MINIMIZATION OF SHORTFALL RISK FORA DIFFUSION MODEL WITH JUMPS AND TWO INTEREST RATESVIA MARKET COMPLETION

摘要

This paper deals with the problems of investment and shortfall risk min-imization in the framework of a two-factor diffusion model with jumps and withdifferent credit and deposit rates. The optimal strategies are derived by means ofauxiliary completions of the initial market.