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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

A penny saved is a penny earned : less expensive zero coupon bonds

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016

Persistent link: https://www.econbiz.de/10011778099

Optimal Fourier inversion in semi-analytical option pricing

Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10011349177

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

A benchmark approach to risk-minimization under partial information

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 55 (2014), pp. 129-146

Persistent link: https://www.econbiz.de/10010366196

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 … variance (CEV) process and derive the long-term optimal investment strategies under each of these processes. Since volatility … information problem. Optimal investment strategies based on the CEV volatility model are obtained by adopting the Backward Markov …

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

Portfolio optimization with feedback strategies based on artificial neural networks

Kopeliovich, Yaacov; Pokojovy, Michael - In: Finance research letters 69 (2024) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10015191872

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

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