International Journal of Theoretical and Applied Finance · 2010 · 52 citations · 27 references
BusinessEconomicsMathematicsFinancial EconomicsMicroeconomicsStochastic ProcessesRisk AversionStochastic OptimizationStochastic VolatilityUtility FunctionsUtility TheoryVolatility ModelingAffine Stochastic Volatility ModelsExpected Utility MaximizationMartingale ProblemsMartingale RepresentationMartingale TheoryPower UtilityStochastic Volatility ModelsUtility Maximization
We consider the classical problem of maximizing expected utility from terminal wealth. With the help of a martingale criterion explicit solutions are derived for power utility in a number of affine stochastic volatility models.
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Stochastic Volatility for Lévy Processes
Peter Carr, Hélyette Geman, Dilip B. Madan et al. · Mathematical Finance · 2003 · 911 citations
Engineering, Economics, Finance +17