Results 41 to 50 of about 27,645 (243)
Merton’s portfolio problem under Volterra Heston model [PDF]
Finance Research Letters, 2021 This paper investigates Merton's portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering an auxiliary random process, we solve the portfolio optimization problem with the martingale optimality principle.
Han, Bingyan, Wong, Hoi Ying
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Modeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more ...
Abdolsadeh Neisy, Moslem Peymany
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Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022 This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel +2 more
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Time Dependent Heston Model [PDF]
SIAM Journal on Financial Mathematics, 2009 The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [Hes93] or piecewise constant [MN03]. Hence, using a small volatility of volatility expansion and Malliavin calculus techniques, we derive an accurate analytical formula for the price of vanilla options for any time dependent Heston ...
Benhamou, Eric +2 more
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PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON
E-Jurnal Matematika, 2018 Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI +2 more
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Filtration of parameters of the Heston model
Системи обробки інформації, 2020 In this article we consider the Heston model of the stock price behaviour. While the volatility of the model is the non-linear function of another stochastic unobservable function, that is why we consider linearizing all non-linear functions of the model.
О.А. Кобилін +2 more
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Numerical Simulation of the Heston Model under Stochastic Correlation
International Journal of Financial Studies, 2017 Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng +2 more
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Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Journal of Finance and Data Science, 2021 The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
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Combined multiplicative–Heston model for stochastic volatility
Physica A: Statistical Mechanics and its Applications, 2021 10 pages, 7 ...
Dashti Moghaddam, M., Serota, R. A.
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Systems Science & Control Engineering, 2023 In this paper, we investigate an optimal investment strategy for defined-contribution (DC) pension plan under hybrid stochastic volatility (Heston–Hull–White) model, taking account of the inflation risk and the stochastic salary.
Yanyu Shao, Dengfeng Xia, Weiyin Fei
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