Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
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Author
Date
2012-01-13Type
- Working Paper
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
arXivPages / Article No.
Publisher
Cornell UniversitySubject
Quadratic BSDEs; Affine processes; Wishart processes; Utility maximization; Stochastic volatility; Explicit solutionOrganisational unit
03845 - Teichmann, Josef / Teichmann, Josef
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ETH Bibliography
yes
Altmetrics