Utility Maximization in Multivariate Volterra Models
From MaRDI portal
Recommendations
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A predictor-corrector approach for the numerical solution of fractional differential equations
- A solution approach to valuation with unhedgeable risks
- Affine forward variance models
- Affine Volterra processes
- Buy rough, sell smooth
- Derivative pricing with Wishart multivariate stochastic volatility
- Detailed error analysis for a fractional Adams method
- Explicit solutions of some utility maximization problems in incomplete markets
- From microscopic price dynamics to multidimensional rough volatility models
- scientific article; zbMATH DE number 194918 (Why is no real title available?)
- Markovian lifts of positive semidefinite affine Volterra-type processes
- Markovian structure of the Volterra Heston model
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- Mean-variance portfolio selection under Volterra Heston model
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
- Optimal portfolio under fractional stochastic environment
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal portfolios for financial markets with Wishart volatility
- Portfolio optimization and stochastic volatility asymptotics
- Portfolio Optimization in Fractional and Rough Heston Models
- Stochastic control with rough paths
- The characteristic function of rough Heston models
- The Laplace transform of the integrated Volterra Wishart process
- The stochastic Fubini theorem revisited
- Utility maximization in affine stochastic volatility models
- Utility maximization in incomplete markets
- Volatility is rough
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
Cited in
(10)- Mean-variance portfolio selection under Volterra Heston model
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
- Time-inconsistency with rough volatility
- Portfolio insurance under rough volatility and Volterra processes
- Optimal portfolios for financial markets with Wishart volatility
- Utility maximization in multivariate Volterra models
- Partial hedging in rough volatility models
- Pricing of geometric Asian options in the Volterra-Heston model
- Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
- On the convergence of collocation methods for Volterra-Riccati integral equations with weakly singular kernel
This page was built for publication: Utility Maximization in Multivariate Volterra Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5886358)
