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Sensitivity analysis of long-term cash flows

Park, Hyungbin - In: Finance and stochastics 22 (2018) 4, pp. 773-825

Persistent link: https://www.econbiz.de/10011946563

Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition

Park, Hyungbin - In: Mathematics and financial economics 16 (2022) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10013167688

Robust long-term growth rate of expected utility for leveraged ETFs

Leung, Tim; Park, Hyungbin; Yeo, Heejun - In: Mathematics and financial economics 18 (2024) 4, pp. 671-705

Persistent link: https://www.econbiz.de/10015189218

The intrinsic bounds on the risk premium of Markovian pricing kernels

Han, Jihun; Park, Hyungbin - In: Finance research letters 13 (2015), pp. 36-44

Persistent link: https://www.econbiz.de/10011552334

Long-term growth rate of expected utility for leveraged ETFs : martingale extraction approach

Leung, Tim; Park, Hyungbin - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-33

Persistent link: https://www.econbiz.de/10011734273

An integral representation of elasticity and sensitivity for stochastic volatility models

Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - In: Mathematics and financial economics 12 (2018) 2, pp. 249-274

Persistent link: https://www.econbiz.de/10011963852

Conditions for bubbles to arise under heterogeneous beliefs

Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421

Persistent link: https://www.econbiz.de/10013167765

Robust XVA

Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - In: Mathematical Finance 30 (2020) 3, pp. 738-781

Persistent link: https://www.econbiz.de/10012283197

Portfolio optimization under convex incentive schemes

Bichuch, Maxim; Sturm, Stephan - In: Finance and Stochastics 18 (2014) 4, pp. 873-915

<Para ID="Par1">We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager’s own utility function U is assumed to be smooth and strictly concave;...</para>

Persistent link: https://www.econbiz.de/10010997076

On refined volatility smile expansion in the Heston model

Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; … - In: Quantitative Finance 11 (2011) 8, pp. 1151-1164

It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment s+ can be obtained by solving (numerically) a simple equation. This yields a leading-order expansion for the implied volatility at large strikes: σBS(k, T)2T ∼ Ψ(s+ - 1) × k (Roger...

Persistent link: https://www.econbiz.de/10009208214