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Portfolio Optimization in Fractional and Rough Heston Models

  • Published:2020-01 Issue:1 Volume:11 Page:240-273
  • ISSN:1945-497X
  • Container-title:SIAM Journal on Financial Mathematics
  • language:en
  • Short-container-title:SIAM J. Finan. Math.

Author:

Bäuerle Nicole,Desmettre Sascha

Funder

Austrian Science Fund

Deutsche Forschungsgemeinschaft

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Cited by 16 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Partial Hedging in Rough Volatility Models;SIAM Journal on Financial Mathematics;2024-07-05

2. Monotone Positive Radial Solution of Double Index Logarithm Parabolic Equations;Fractal and Fractional;2024-03-16

3. Transition density function expansion methods for portfolio optimization;Optimal Control Applications and Methods;2024-01-25

4. A mutually exciting rough jump-diffusion for financial modelling;Fractional Calculus and Applied Analysis;2024-01-02

5. From Constant to Rough: A Survey of Continuous Volatility Modeling;Mathematics;2023-10-08
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