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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, 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; Ma, Jingtang - In: Quantitative finance 18 (2018) 8, 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; Lu, Zhengyang; Chen, Dengsheng - In: Quantitative finance 23 (2023) 1, pp. 95-109
Persistent link: https://www.econbiz.de/10013490957