Blar i SAM - Handelshøyskolen på forfatter "Lempa, Jukka"

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    • Bounded variation control of Itô diffusions with exogenously restricted intervention times 

      Lempa, Jukka (Advances in Applied Probability;46(1), Journal article; Peer reviewed, 2014)
      In this paper, bounded variation control of one-dimensional diffusion processes is considered. We assume that the agent is allowed to control the diffusion only at the jump times of an observable, independent Poisson ...

    • Optimal portfolios in commodity futures markets 

      Benth, Fred Espen; Lempa, Jukka (Finance and Stochastics;18(2), Journal article; Peer reviewed, 2014)
      We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential ...

    • Resolvent-techniques for multiple exercise problems 

      Christensen, S.; Lempa, Jukka (Applied Mathematics & Optimization;71(1), Journal article; Peer reviewed, 2014-05-21)
      Abstract. We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying ...

    • Swing options in commodity markets: A multidimensional Lévy diffusion model 

      Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg (Mathematical Methods of Operations Research;79(1), Journal article; Peer reviewed, 2013-08-29)
      We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...