Explicit Solution For Optimal Investment In Heston Model, Multilevel Monte Carlo For Option Valuation, Dynamic Interaction Between Asset Prices And Bank Behavior, Portfolio Optimisation Beyond Semimartingales, G-Supermartingale Systems, Jump-Diffusion Mod

Abstract

We discuss and deliberate upon the properties such as stability analysis, Solutional behaviour and Asymptotic analysis of the following system: Explicit Solution For Optimal Investment In Heston Model, Multilevel Monte Carlo For Option Valuation, Dynamic Interaction Between Asset Prices And Bank Behavior, Portfolio Optimisation Beyond Semimartingales, G-Supermartingale Systems, Jump-Diffusion Models, High-Order Splitting Methods, Unspanned Stochastic Local Volatility Model, New Solvable Stochastic Volatility Models, Trade Arrival Dynamics, Structural Approach To Pricing Credit Default Swaps, Complexity Of Multilevel Monte Carlo Tau-Leaping, Shadow Prices And Fractional Brownian Motion, Structural Default Models With Correlated Jumps And Mutual Obligations, Jump-Diffusion Models, Splitting And Matrix Exponential Approach For Jump-Diffusion Models, High-Order Splitting Methods, Unspanned Stochastic...

The full paper: http://www.iiste.org/PDFshare/APTA-PAGENO-436195-440611.pdf