Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model

A collective investment problem in a stochastic volatility environment: The impact of sharing rules

(2021) An Chen et al.   ANNALS OF OPERATIONS RESEARCH

Optimal investment strategy in the family of 4/2 stochastic volatility models

(2021) Yuyang Cheng et al.   QUANTITATIVE FINANCE

Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan

(2019) Yinghui Dong et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

The Peculiar Logic of the Black-Scholes Model

(2018) Jim Weatherall   PHILOSOPHY OF SCIENCE

Optimal investment under multi-factor stochastic volatility

(2016) Marcos Escobar et al.   QUANTITATIVE FINANCE

Optimal Portfolios for Financial Markets with Wishart Volatility

(2014) Nicole Bäuerle et al.   JOURNAL OF APPLIED PROBABILITY

POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS

(2011) Marcel Nutz   MATHEMATICAL FINANCE

Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems

(2011) Baojun Bian et al.   SIAM Journal on Financial Mathematics

Pricing a CDO on stochastically correlated underlyings

(2009) Marcos Escobar et al.   QUANTITATIVE FINANCE