Time-Inconsistency with Rough Volatility (Q5019592)

scientific article; zbMATH DE number 7454673

Language	Label	Description	Also known as
English	Time-Inconsistency with Rough Volatility	scientific article; zbMATH DE number 7454673

Statements

instance of

scholarly article

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title

Time-Inconsistency with Rough Volatility (English)

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SIAM Journal on Financial Mathematics

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publication date

10 January 2022

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full work available at URL

https://arxiv.org/abs/1907.11378

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zbMATH Keywords

time-inconsistency

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rough volatility

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functional Itô calculus

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mean-variance portfolio selection

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Volterra Heston model

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MaRDI profile type

MaRDI publication profile

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cites work

Lifting the Heston model

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Multifactor Approximation of Rough Volatility Models

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Affine Volterra processes

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Portfolio Optimization in Fractional and Rough Heston Models

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Pricing under rough volatility

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On time-inconsistent stochastic control in continuous time

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A theory of Markovian time-inconsistent stochastic control in discrete time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Volterra Integral Equations

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Functional Itō calculus and stochastic integral representation of martingales

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Time-consistent mean-variance portfolio selection in discrete and continuous time

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Functional Itô calculus

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Investment and consumption without commitment

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The characteristic function of rough Heston models

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Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment

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Optimal portfolio under fractional stochastic environment

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Volatility is rough

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Affine forward variance models

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Moment explosions in the rough Heston model

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Buy rough, sell smooth

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Q4692887

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Asymptotic Behavior of the Fractional Heston Model

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Mean-variance portfolio selection under Volterra Heston model

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On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time

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Time-Inconsistent Stochastic Linear--Quadratic Control

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Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time

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No‐arbitrage implies power‐law market impact and rough volatility

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Support characterization for regular path-dependent stochastic Volterra integral equations

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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On some properties of the Mittag-Leffler function \(E_\alpha(-t^\alpha)\), completely monotone for \(t>0\) with \(0<\alpha<1\)

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Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

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Model-Free Portfolio Theory and Its Functional Master Formula

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A functional Itô's calculus approach to convex risk measures with jump diffusion

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A martingale approach for fractional Brownian motions and related path dependent PDEs

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Time-inconsistent optimal control problems and the equilibrium HJB equation

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Consumption-investment strategies with non-exponential discounting and logarithmic utility

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Identifiers

zbMATH Open document ID

1480.91266

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DOI

10.1137/20M136654X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5019592