impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment …Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint … volatility, but with no transaction costs, the Merton problem under general utility functions can also be analyzed with …

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …