Results 81 to 90 of about 1,024,611 (253)

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, Maximilian Gollart, Rudi Zagst   +2 more
doaj  

Reconciling rough volatility with jumps [PDF]

arXiv, 2023
We reconcile rough volatility models and jump models using a class of reversionary Heston models with fast mean reversions and large vol-of-vols. Starting from hyper-rough Heston models with a Hurst index $H \in (-1/2,1/2)$, we derive a Markovian approximating class of one dimensional reversionary Heston-type models.
arxiv  

Portfolio Optimization for Pension Purposes: Literature Review

Journal of Economic Surveys, EarlyView.
ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira, Igor Leão dos Santos, Pedro Henrique Gonzalez   +2 more
wiley   +1 more source

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate

Mathematics, 2021
At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj   +1 more source

On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index - [PDF]

, 2009
We consider the problem of estimating stochastic volatility from stock data. The estimation of the volatility process of the Heston model is not in the usual framework of the filtering theory. Discretizing the continuous Heston model to the discrete-time
Aihara, ShinIchi, Bagchi, Arunabha, Saha, Saikat   +2 more
core   +3 more sources

Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process

Journal of Time Series Analysis, EarlyView.
In recent years, significant advancements have been made in the field of identifying financial asset price bubbles, particularly through the development of time‐series unit‐root tests featuring fractionally integrated errors and panel unit‐root tests.
Katsuto Tanaka, Weilin Xiao, Jun Yu
wiley   +1 more source

An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab

, 2014
This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices.
Crisostomo, Ricardo
core   +1 more source

The Large Maturity Smile for the Heston Model [PDF]

SSRN Electronic Journal, 2009
Using the Gartner-Ellis theorem from large deviation theory, we characterize the leading-order behaviour of call option prices under the Heston model, in a new regime where the maturity is large and the log-moneyness is also proportional to the maturity. Using this result, we then derive the implied volatility in the large-time limit in the new regime,
Antoine Jacquier, Antoine Jacquier, Martin Forde   +2 more
openaire   +2 more sources

On the Discrete-Time Simulation of the Rough Heston Model

SIAM Journal on Financial Mathematics, 2023
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an equivalent integrated variance formulation. Using weak convergence techniques, we prove that the limits of the discrete-time schemes are solution to some modified Volterra ...
Alexandre Richard, Xiaolu Tan, Fan Yang
openaire   +3 more sources

Polar Coordinates for the 3/2 Stochastic Volatility Model

Mathematical Finance, EarlyView.
ABSTRACT The 3/2 stochastic volatility model is a continuous positive process s with a correlated infinitesimal variance process ν$\nu $. The exact definition is provided in the Introduction immediately below. By inspecting the geometry associated with this model, we discover an explicit smooth map ψ$ \psi $ from (R+)2$({\mathbb{R}}^+)^2 $ to the ...
Paul Nekoranik
wiley   +1 more source