Narrow search
Showing 1 - 10 of 132,833
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng; He, Yong; Li, Ziqiang - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Cover Image
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Cover Image
Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
Cover Image
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
Cover Image
A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain Volatility Models and CVA
Henry-Labordere, Pierre - 2015
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...
Persistent link: https://www.econbiz.de/10013023827
Cover Image
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
Cover Image
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 … asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance … tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to …
Persistent link: https://www.econbiz.de/10012832645