Similar Search Results

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility … in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated …

Persistent link: https://www.econbiz.de/10012508614

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure

Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011716067

Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

Platen, Eckhard - 2012

finite dimensional external factors, thus admitting a stochastic volatility structure …

Persistent link: https://www.econbiz.de/10013098518

Portfolio selection in stochastic environments

Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10003403670

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71

Persistent link: https://www.econbiz.de/10011973854

Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility

Pun, Chi Seng; Gupta, Rachana - 2021

modelled by an Ornstein—Uhlenbeck (mean-reverting) process with a slowly varying stochastic volatility. The objective of the … adopting an ansatz of a band policy. Due to the complexity introduced by the stochastic volatility, there is no analytical …

Persistent link: https://www.econbiz.de/10013242230

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

Persistent link: https://www.econbiz.de/10000997987

Volatility, estimates of the short-term interest rate with an application to German data

Dankenbring, Henning - In: Kredit und Kapital 33 (2000) 4, pp. 548-570

Persistent link: https://www.econbiz.de/10001554586

Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model

Ulm, Maren; Hambuckers, Julien - 2021

volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of …We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …

Persistent link: https://www.econbiz.de/10013311091