Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading

DOI10.3934/jimo.2022121OpenAlexW4285821026MaRDI QIDQ2691368

Yumo Zhang

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022121

zbMATH Keywords

asset-liability managementbackward stochastic differential equationderivative trading4/2 stochastic volatilityCIR interest rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

Robust optimal asset-liability management with mispricing and stochastic factor market dynamics

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