Stochastic volatility

• Original research

The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility

The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.

• 30 Sep 2014

• Risk management

Monte Carlo pricing in the Schöbel–Zhu model and its extensions

• 30 Mar 2014

• Risk management

Pricing electricity swaptions under a stochastic volatility term structure model

• 19 Dec 2013

• Risk management

Exact simulation pricing with Gamma processes and their extensions

• 19 Dec 2013

• Original research

When you hedge discretely: optimization of the Sharpe ratio for the Delta-hedging strategy under discrete hedging and transaction costs

• 18 Dec 2013

• Risk management

The evaluation of American compound option prices under stochastic volatility and stochastic interest rates

• 30 Sep 2013

• Risk management

Fast and accurate long-stepping simulation of the Heston stochastic volatility model

• 27 Mar 2013

• Original research

Dynamic option-based strategies under downside loss aversion

• 27 Mar 2013

• Risk management

Pricing options on realized variance in the Heston model with jumps in returns and volatility Part II. An approximate distribution of discrete variance

• 18 Dec 2012

• Risk management

An equity–interest rate hybrid model with stochastic volatility and the interest rate smile

• 28 Jun 2012