Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes*

Kazutoshi Yamazaki

Chapter 9 in Recent Advances in Financial Engineering 2014:Proceedings of the TMU Finance Workshop 2014, 2016, pp 199-215 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We study the control band policy arising in the context of cash balance management. A policy is specified by four parameters (d, D, U, u). The controller pushes the process up to D as soon as it goes below d and pushes down to U as soon as it goes above u, while he does not intervene whenever it is within the set (d, u). We focus on the case when the underlying process is a spectrally one-sided Lévy process and obtain the expected fixed and proportional controlling costs as well as the holding costs under the band policy.

Keywords: Financial Engineering; Mathematical Finance; Money & Banking; Risk Management; Real Option; Corporate Finance; Computational Finance (search for similar items in EconPapers)
Date: 2016
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