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You are here: Home :: Keyword index :: Sof bis tim :: Stickstoffmonoxid - stone absence or presence stochastic volatility

Items for "stochastic volatility"

Robust utility maximization in a stochastic factor model

We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process...

Keywords: optimal investment, model uncertainty, incomplete markets, stochastic volatility, coherent risk measures

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag
An ε-Optimal Portfolio with Stochastic Volatility

We consider an extended Merton's problem of optimal consumption and investment in continuous-time with stochastic volatility...

Keywords: stochastic volatility, portfolio optimization, -optimal control, time-discrete approximation

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter
Functional quantization for numerics with an application to option pricing

We investigate in this paper the numerical performances of quadratic functional quantization with some applications to Finance...

Keywords: Functional quantization, Product quantizers, Romberg extrapolation, Karhunen-Love expansion, Brownian motion, SDE, Asian option, stochastic volatility, Heston model

12/2005 | Monte Carlo Methods and Applications, Walter de Gruyter