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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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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 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
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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
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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
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Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
Ladkau, Marcel - 2015
Persistent link: https://www.econbiz.de/10012385011
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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
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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
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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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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