Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Author: Maxim Bichuch
Publisher:
Published: 2014
Total Pages: 26
ISBN-13:
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Optimal Investment with Transaction Costs and Stochastic Volatility Part II
Author: Maxim Bichuch
Publisher:
Published: 2018
Total Pages: 24
ISBN-13:
DOWNLOAD EBOOKIn this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, "http://ssrn.com/abstract=2374150" http://ssrn.com/abstract=2374150, we give an accuracy proof for the finite time optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in a time scale parameter and the small transaction cost. The supplemental appendix accompanies this paper is, available at "http://ssrn.com/abstract=3234374" http://ssrn.com/abstract=3234374, in which we prove the verification theorem that the value function is a viscosity solution of the HJB equation.
Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs with Two Futures Contracts
Author: Maxim Bichuch
Publisher:
Published: 2010
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKMarkets with Transaction Costs
Author: Yuri Kabanov
Publisher: Springer Science & Business Media
Published: 2009-12-04
Total Pages: 306
ISBN-13: 3540681213
DOWNLOAD EBOOKThe book is the first monograph on this highly important subject.
Paris-Princeton Lectures on Mathematical Finance 2013
Author: Fred Espen Benth
Publisher: Springer
Published: 2013-07-11
Total Pages: 326
ISBN-13: 3319004131
DOWNLOAD EBOOKThe current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Optimal Portfolios
Author: Ralf Korn
Publisher: World Scientific
Published: 1997
Total Pages: 352
ISBN-13: 9810232152
DOWNLOAD EBOOKThe focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
Peter Carr Gedenkschrift: Research Advances In Mathematical Finance
Author: Robert A Jarrow
Publisher: World Scientific
Published: 2023-11-10
Total Pages: 866
ISBN-13: 9811280312
DOWNLOAD EBOOKThis Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
Optimal Investment with Transaction Costs and Stochastic Volatility Part I
Author: Maxim Bichuch
Publisher:
Published: 2015
Total Pages: 29
ISBN-13:
DOWNLOAD EBOOKTwo major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, the Merton problem under general utility functions can also be analyzed with asymptotic methods. Here, we look at the long-run growth rate problem when both complexities are present, using separation of time scales approximations. This leads to perturbation analysis of an eigenvalue problem. We find the first term in the asymptotic expansion in the time scale parameter, of the optimal long-term growth rate, and of the optimal strategy, for fixed small transaction costs.The Companion piece for this paper are available at the following URL: "http://ssrn.com/abstract=2659918" http://ssrn.com/abstract=2659918.
Stochastic Analysis And Applications To Finance: Essays In Honour Of Jia-an Yan
Author: Tusheng Zhang
Publisher: World Scientific
Published: 2012-07-17
Total Pages: 465
ISBN-13: 9814489158
DOWNLOAD EBOOKThis volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.
Supplemental Appendix to Optimal Investment with Transaction Costs and Stochastic Volatility Part II
Author: Maxim Bichuch
Publisher:
Published: 2018
Total Pages: 5
ISBN-13:
DOWNLOAD EBOOKThis supplemental appendix accompanies "Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon" by the same authors, available at:"http://ssrn.com/abstract=2659918" http://ssrn.com/abstract=2659918. In this appendix we prove the verification theorem that the value function is a viscosity solution of the HJB equation.
