FS 2011 | Sciweavers

42

FS
2011

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Gamma expansion of the Heston stochastic volatility model

13 years 2 months ago

Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...

Paul Glasserman, Kyoung-Kuk Kim

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FS
2011

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Asset price bubbles from heterogeneous beliefs about mean reversion rates

13 years 2 months ago

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Harrison and Kreps showed in 1978 how the heterogeneity of investor beliefs can drive speculation, leading the price of an asset to exceed its intrinsic value. By focusing on an e...

Xi Chen, Robert V. Kohn

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32

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FS
2011

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Co-monotonicity of optimal investments and the design of structured financial products

13 years 6 months ago

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Marc Oliver Rieger

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31

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FS
2011

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A note on the existence of the power investor's optimizer

13 years 6 months ago

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[KLSX91] ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coeﬃcients less than one. In this note, we explain a simple tr...

Kasper Larsen

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2011

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Dual pricing of multi-exercise options under volume constraints

13 years 6 months ago

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Christian Bender

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