which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so … derive formulas for the hedging strategy and the hedging error …

markets with stochastic volatility (SV). We offer the existence and uniqueness results of the TCMV equilibrium controls for …-White and 3/2 SV models. The uniqueness of the equilibrium controls are related to the mean-reverting speed of the volatility …

In this paper, first we study a stochastic volatility market model for which an explicit candidate solution to the …

This paper analyzes the influence of affine versus non-affine stochastic volatility specifications on simulated … distributions, option pricing, and asset allocation. We look at models that include stochastic volatility and jumps in the stock … price and in its volatility. For the asset allocation problem we consider a CRRA investor who has access to one additional …

This paper investigates the use of the asymptotic Heston solution in locally risk minimizing hedging. The asymptotic …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …