3 citations · 10 across the 28 of their papers we have counts for
8 papers · 1 filter
Deep Learning for Constrained Utility Maximisation
Ashley Davey, Harry Zheng
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovia…
Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model
Jingtang Ma, Wenyuan Li, Harry Zheng
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model wit…
A robust algorithm and convergence analysis for static replications of nonlinear payoffs
Jingtang Ma, Dongya Deng, Harry Zheng
In this paper we propose a new robust algorithm to find the optimal static replicating portfolios for general nonlinear payoff functions and give the estimate of the rate of conver…
On Modeling Economic Default Time: A Reduced-Form Model Approach
Jia-Wen Gu, Bo Jiang, Wai-Ki Ching +1
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, fina…
On Reduced Form Intensity-based Model with Trigger Events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu +1
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a mor…
Constrained NonSmooth Utility Maximization on the Positive Real Line
Nicholas Westray, Harry Zheng
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not ass…
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
Baojun Bian, Sheng Miao, Harry Zheng
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily d…
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Guoping Xu, Harry Zheng
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with syste…