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Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Chiarella, Carl - 2010

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the long-term optimal...

Persistent link: https://www.econbiz.de/10013136824

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346

Persistent link: https://www.econbiz.de/10011874006

Calibration to FX triangles of the 4/2 model under the benchmark approach

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021

Persistent link: https://www.econbiz.de/10013347384

Calibration to FX triangles of the 4/2 model under the benchmark approach

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10013380525

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62

Persistent link: https://www.econbiz.de/10011712358

A discrete-time hedging framework with multiple factors and fat tails : on what matters

Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of econometrics 232 (2023) 2, pp. 416-444

Persistent link: https://www.econbiz.de/10014339997

Pricing and hedging in stochastic volatility regime switching models

Goutte, Stéphane - In: Journal of mathematical finance 3 (2013) 1, pp. 70-80

Persistent link: https://www.econbiz.de/10010240223

Optimal investment of variance-swaps in jump-diffusion market with regime-switching

Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197

Persistent link: https://www.econbiz.de/10011915585

Optimal portfolio choice in a jump-diffusion model with self-exciting

Bian, Baojun; Chen, Xinfu; Zeng, Xudong - In: Journal of mathematical finance 9 (2019) 3, pp. 345-367

Persistent link: https://www.econbiz.de/10012210282