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Control variate method for deep BSDE solver using weak approximation

Tsuchida, Yoshifumi - In: Asia Pacific financial markets 30 (2023) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10014342288

Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach

Zhang, Yumo - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 97-128

Persistent link: https://www.econbiz.de/10014321379

Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790

Persistent link: https://www.econbiz.de/10014329362

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

Wang, Ning; Zhang, Yumo - In: Insurance / Mathematics & economics 113 (2023), pp. 251-273

Persistent link: https://www.econbiz.de/10014466215

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks 8 (2020) 3, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10013200603