Pages that link to "Item:Q404585"

The following pages link to Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585):

Displayed 9 items.

• On moment non-explosions for Wishart-based stochastic volatility models (Q323428) ‎ (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) ‎ (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) ‎ (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) ‎ (← links)
• Existence and uniqueness results for BSDE with jumps: the whole nine yards (Q1722017) ‎ (← links)
• BSDE approach to utility maximization with square-root factor processes (Q1984680) ‎ (← links)
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) ‎ (← links)
• Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models (Q5256269) ‎ (← links)
• Long-Term Optimal Investment in Matrix Valued Factor Models (Q5280243) ‎ (← links)