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PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON’S STOCHASTIC VOLATILITY MODEL

김재희|Sotheara Veng
영남수학회 (Youngnam Mathematical Society)|2017.01|East Asian Mathematical Journal|제33권 제1호|pp. 23-36

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참고문헌

키워드

practical strategymulti-scale Heston’s modelHARA utility functionoptimal in- vestment strategy
주제분류수학

초록

We study an optimization problem for HARA utility function under a multi-scale Heston’s stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.

Abstract

We study an optimization problem for HARA utility function under a multi-scale Heston’s stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.

참고문헌 (11)

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  2. J-P. Fouque, "A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model", SIAM Journal on Financial Mathematics, 2, pp.221~254 (2011)
  3. J-P. Fouque, "Derivatives in Financial Markets with Sto-chastic Volatility" (2010), Cambridge Univrsity Press
  4. J-P. Fouque, "Short time-scale in S&P 500", Journal of Computational Finance, 6, pp.1~23 (2003)
  5. J-P. Fouque, "Multiscale stochastic volatility for equity, interest rate and credit derivatives" (2011), Cambridge Univrsity Press
  6. J-P. Fouque, "Portfolio Optimization and Stochastic Volatility Asymptotics", Mathematical Finance, 25, pp.256~456 (2015)
  7. Asymptotic analysis for optimal investment strategies under a multiscale Heston's stochastic volatility model, "J.H. Kim", ~
  8. H. Kraft, "Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility", Quantitative Finance, 5, pp.303~313 (2015)
  9. B. Oksendal, "Stochastic Differential Equations" (1998), Springer
  10. T. Zariphopoulou, "A solution approach to valuation with unhedgeable risks", Finance and Stochastics, 5, pp.61~82 (2001)
  11. X. Zeng, "A stochastic volatility model and optimal portfolio selection", Quantitative Finance, 13, pp.1547~1558 (2013)

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