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~isPartOf:"Quantitative finance"
~person:"Cheng, Yuyang"
~subject:"Konferenz"
~subject:"Volatilität"
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Konferenz
Volatilität
4/2 stochastic volatility model
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Cheng, Yuyang
Escobar, Marcos
4
Gatheral, Jim
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Felpel, Mike
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
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2
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
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