14 citations · 17 across the 5 of their papers we have counts for
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q-fin.ST2016
Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
Vikram Krishnamurthy, Elisabeth Leoff, Jörn Sass
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to…
q-fin.PM2016★ 2 cited
Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
This paper investigates optimal trading strategies in a financial market with multidimensional stock returns where the drift is an unobservable multivariate Ornstein-Uhlenbeck proc…