29 citations · 119 across the 29 of their papers we have counts for
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q-fin.PM2017★ 2 cited
Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility usin…
q-fin.MF2017★ 4 cited
Optimal Portfolio under Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, w…