Non-linear filtering and optimal investment under partial information for stochastic volatility models
Year of publication: |
June 2018
|
---|---|
Authors: | Ibrahim, Dalia ; Abergel, Frédérik |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 87.2018, 3, p. 311-346
|
Subject: | Partial information | Stochastic volatility | Utility maximization | Martingale duality method | Non-linear filtering | Kushner-Stratonovich equations | Semilinear partial differential equation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Analysis | Mathematical analysis | Portfolio-Management | Portfolio selection | Nichtlineare Regression | Nonlinear regression |
-
Li, Danping, (2018)
-
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David, (2020)
-
Indifference fee rate for variable annuities
Chevalier, Etienne, (2016)
- More ...
-
Allegret, Audrey, (2023)
-
Ibrahim, Dalia, (2014)
-
Ibrahim, Dalia, (2014)
- More ...