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Optimal investment with correl...
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Showing
1
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10
of
128,657
Sort
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date (newest first)
date (oldest first)
1
Capturing implied
correlation
skew from options prices via multiscale stochastic
volatility
models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
5
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
6
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
Saved in:
7
Multivariate FX Models with Jumps : Triangles, Quantos and Implied
Correlation
Ballotta, Laura
-
2017
tractable. The approach allows for simultaneous calibration to market
volatility
surfaces of currency triangles, and also gives …
Persistent link: https://www.econbiz.de/10012963076
Saved in:
8
Optimal Investment with Correlated Stochastic
Volatility
Factors
Bichuch, Maxim
-
2020
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with
volatility
…
Persistent link: https://www.econbiz.de/10012848021
Saved in:
9
Mean-Variance Hedging and Optimal Investment in Heston's Model with
Correlation
Černý, Aleš
-
2020
systematically with the
volatility
of stock returns. We allow for
correlation
between stock returns and their
volatility
(so …
Persistent link: https://www.econbiz.de/10012705869
Saved in:
10
Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Jin, Xing
;
Luo, Dan
;
Zeng, Xudong
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 347-376
Persistent link: https://www.econbiz.de/10011868609
Saved in:
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