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q-fin.MF2022
Delta family approach for the stochastic control problems of utility maximization
Jingtang Ma, Zhengyang Lu, Zhenyu Cui
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equati…
q-fin.MF2021
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…