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A fast algorithm for simulation of rough volatility models
Ma, Jingtang
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Wu, Haofei
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Quantitative finance
22
(
2022
)
3
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pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Optimal investment strategies for general utilities under dynamic elasticity of variance models
Li, Wenyuan
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Ma, Jingtang
- In:
Quantitative finance
18
(
2018
)
8
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pp. 1379-1388
Persistent link: https://www.econbiz.de/10011911546
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Optimal reinsurance-investment with loss aversion under rough Heston model
Ma, Jingtang
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Lu, Zhengyang
;
Chen, Dengsheng
- In:
Quantitative finance
23
(
2023
)
1
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pp. 95-109
Persistent link: https://www.econbiz.de/10013490957
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