3 citations · 10 across the 28 of their papers we have counts for
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q-fin.CP2017★ 3 cited
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…
q-fin.MF2017★ 1 cited
Dynamic Portfolio Optimization with Looping Contagion Risk
Longjie Jia, Martijn Pistorius, Harry Zheng
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stoc…