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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
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Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
Hin, Lin-Yee; Dokučaev, Nikolaj G. - In: IMA journal of management mathematics 27 (2016) 4, pp. 505-527
Persistent link: https://www.econbiz.de/10011739941
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Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
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Optimal switching decisions under stochastic volatility with fast mean reversion
Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
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A comparative assessment of different fuzzy regression methods for volatility forecasting
Muzzioli, Silvia; De Beats, B. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 4, pp. 433-450
Persistent link: https://www.econbiz.de/10010232663
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Calibrating option pricing models with heuristics
Gilli, Manfred; Schumann, Enrico - In: Natural computing in computational finance : volume 4, (pp. 9-37). 2011
Persistent link: https://www.econbiz.de/10009423553
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Liquidity commonality and its causes : evidence from the Korean stock market
Cho̕e, Hyuk; Yang, Cheol-won - In: Asia-Pacific journal of financial studies 39 (2010) 5, pp. 626-658
Persistent link: https://www.econbiz.de/10009231511
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Commercial real estate investments and the term structure of risk and return
Rehring, Christian - 2010
Persistent link: https://www.econbiz.de/10008858368
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Genetic programming with syntactic restrictions applied to financial volatility forecasting
Zumbach, Gilles O.; Pictet, Olivier V.; Masutti, Oliver - In: Computational methods in decision-making, economics and …, (pp. 557-581). 2010
Persistent link: https://www.econbiz.de/10009153065
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Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan; Badran, Alexander - 2012
Persistent link: https://www.econbiz.de/10009564457