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Calibrating local volatility models with stochastic drift and diffusion
Ögetbil, Orcan; Ganesan, Narayan; Hientzsch, Bernhard - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-43
Persistent link: https://www.econbiz.de/10013189965
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Pospíšil, Jan; Sobotka, Tomáš; Ziegler, Philipp - In: Empirical economics : a journal of the Institute for … 57 (2019) 6, pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941
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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Biswas, Subhojit; Jawaid, Saif; Mukherjee, Diganta - In: Annals of financial economics 15 (2020) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012642950
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Portfolio optimization and stochastic volatility asymptotics
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; … - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 704-745
Persistent link: https://www.econbiz.de/10011764969
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Portfolio optimization problem with delay under Cox-Ingersoll-Ross model
A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717
Persistent link: https://www.econbiz.de/10011752489
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Dynamic derivative strategies with stochastic interest rates and model uncertainty
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71
Persistent link: https://www.econbiz.de/10011973854
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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The SEV-SV model : applications in portfolio optimization
Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34
optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the … within expected utility theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy … reverts to a GBM model, the volatility and speed of reversion of the EV have a strong impact on optimal allocations, and more …
Persistent link: https://www.econbiz.de/10014234313
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A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894