13 citations · 15 across the 4 of their papers we have counts for
8 papers
Time-consistency of risk measures with GARCH volatilities and their estimation
Claudia Klüppelberg, Jianing Zhang
In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts…
Existence and stability of measure solutions for BSDE with generators of quadratic growth
Alexander Fromm, Peter Imkeller, Jianing Zhang
With an emphasis on generators with quadratic growth in the control variable we consider measure solutions of BSDE, a solution concept corresponding to the notion of risk neutral m…
Libor model with expiry-wise stochastic volatility and displacement
Marcel Ladkau, John G. M. Schoenmakers, Jianing Zhang
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. T…
Dual representations for general multiple stopping problems
Christian Bender, John Schoenmakers, Jianing Zhang
In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual represe…
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
John Schoenmakers, Junbo Huang, Jianing Zhang
In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of…
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with gener…