Found 20 Documents (Results 1–20)
An efficient numerical scheme for the solution of a stochastic volatility model including contemporaneous jumps in finance. (English) Zbl 07633873
Influence of risk tolerance on long-term investments: a Malliavin calculus approach. (English) Zbl 1498.60333
Pricing options under stochastic volatility jump model: a stable adaptive scheme. (English) Zbl 1433.91180
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Analytical approximations of local-Heston volatility model and error analysis. (English) Zbl 1411.91544
Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus. (English) Zbl 1390.60198
Modeling variance risk premium. (English) Zbl 1383.62240
Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. MAF 2016. Selected papers based on the presentations at the conference, Paris, France, March 30 – April 1, 2016. Cham: Springer (ISBN 978-3-319-50233-5/hbk; 978-3-319-50234-2/ebook). 129-141 (2017).
Stochastic evolution equations for large portfolios of stochastic volatility models. (English) Zbl 1407.91221
SIAM J. Financ. Math. 8, 962-1014 (2017); erratum ibid. 10, No. 3, 857-876 (2019).
On the curvature of the smile in stochastic volatility models. (English) Zbl 1371.91137
Reviewer: Nikolaos Halidias (Athens)
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation. (English) Zbl 1465.91107
Portfolio optimization under convex incentive schemes. (English) Zbl 1360.91132
Reviewer: Paweł Kliber (Poznan)
A decomposition formula for option prices in the Heston model and applications to option pricing approximation. (English) Zbl 1259.91081
Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models. (English) Zbl 1242.91188
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