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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model

Hajizadeh, Ehsan - In: International journal of financial engineering 7 (2020) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10012603039

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Pun, Chi Seng - 2020

This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an ambiguity-averse insurer (AAI) with a general concave utility function. The AAI concerns about model uncertainty and seeks for an optimal robust decision. We consider a Brownian motion...

Persistent link: https://www.econbiz.de/10012832645

Calibration of local-stochastic volatility models by optimal transport

Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77

Persistent link: https://www.econbiz.de/10012815947

Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems

Ladkau, Marcel - 2015

Persistent link: https://www.econbiz.de/10012385011

Herding in the Singapore stock exchange

Arjoon, Vaalmikki; Bhatnagar, Chandra Shekhar; … - In: Journal of economics & business 109 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012244946

Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index

Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710

Persistent link: https://www.econbiz.de/10012312671

Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287

Persistent link: https://www.econbiz.de/10011350647

Portfolio optimization under fast mean-reverting and rough fractional stochastic environment

Fouque, Jean-Pierre; Hu, Ruimeng - In: Applied mathematical finance 25 (2018) 3/4, pp. 361-388

Persistent link: https://www.econbiz.de/10012129167

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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