wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion … technique for the underlying volatility process, we derive explicit expression for the solution of the FBSDE up to the third … order of volatility-of-volatility, which can be directly translated into the optimal investment strategy. We compare our …

markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …-White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility …

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