Optimal investment problems and volatility homogenization approximations
By Mattias Jonsson, Ronnie Sircar. 2002
74 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/04aa49e36e89f39446937ebf8d9d8edca1777e3d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Computational Theory and Mathematics
In Economics and Econometrics
- Jian-wei Gao
- Jean-Pierre Fouque 3
- Thaleia Zariphopoulou
- Ronnie Sircar
- Michael Monoyios
- Vicky Henderson
- Daniel Lacker
- Michael Tehranchi
In Finance
- Jean-Pierre Fouque 3
- Jian-wei Gao
- Thaleia Zariphopoulou
- Ronnie Sircar
- Michael Monoyios
- Vicky Henderson
- Daniel Lacker
- Michael Tehranchi
Citations in the corpus
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, methodology): “Applying the method of stochastic optimal control, Legendre transform and dual theory (cf. Jonsson and Sircar (2002), Xiao et al. (2007)), we derive a linear partial differential equation (PDE) for the value function of the optimization problem.”
- PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017, background): “This extends earlier analysis for simple power utilities in Fouque, Papanicolaou, and Sircar (2000, section 10.1), and expansions for the partial hedging problem in Jonsson and Sircar (2002a, 2002b) in the dual problem, both for fast mean-reverting stochastic volatility.”