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q-fin.MF2017
Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading
Dmitry Muravey
This paper studies an optimal investment problem under M-CEV with power utility function. Using Laplace transform we obtain explicit expression for optimal strategy in terms of con…
q-fin.MF2015★ 1 cited
An explicit solution for optimal investment in Heston model
Elena Boguslavskaya, Dmitry Muravey
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem m…
q-fin.MF2014
Interest rate models and Whittaker functions
Dmitry Muravey
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the uni…