Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
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Publication:404585
DOI10.1016/j.spa.2014.05.004zbMath1297.60040arXiv1201.2877OpenAlexW2022550849MaRDI QIDQ404585
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.2877
stochastic volatilityexplicit solutionutility maximizationaffine processesWishart processesquadratic BSDEs
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Mean-field anticipated BSDEs driven by time-changed Lévy noises ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Optimal portfolios when variances and covariances can jump ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ BSDE approach to utility maximization with square-root factor processes ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models
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