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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

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Does Geopolitical Risk Matter in Crude Oil and Stock Markets? Evidence from Disaggregated Data

Li, Sufang; Tu, Dalun; Zeng, Yan; Yuan, Di - 2022

This paper investigates the nonlinear Granger causality and spillover effects among geopolitical risk, crude oil and Chinese disaggregated sectoral stock markets by using a multivariate nonlinear Granger causality test and connectedness network analysis. The nonlinear Granger causality and...

Persistent link: https://www.econbiz.de/10013307787

Does geopolitical risk matter in crude oil and stock markets? : evidence from disaggregated data

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High frequency trading and standard asset pricing models

Jarrow, Robert A. - In: Finance research letters 49 (2022), pp. 1-6

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Options markets, self-fulfilling prophecies, and implied volatilities

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Variance and Volatility Swaps : Bubbles and Fundamental Prices

Jarrow, Robert A. - 2010

The martingale theory of price bubbles defines an asset bubble to exist when the asset's price process is a strict local martingale, that is, a local martingale that is not a martingale. Using this definition of a price bubble, for continuous semimartingales, we characterize the conditions under...

Persistent link: https://www.econbiz.de/10013141918

Volatility : new estimation techniques for pricing derivatives

Jarrow, Robert A. (ed.) - 1998

Persistent link: https://www.econbiz.de/10000665248