We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy ...
In this article, we consider elliptic diffusion problems with an anisotropic random diffusion coefficient. We model the notable direction in terms of a random vector field and derive regularity ...
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