3 citations · 3 across the 5 of their papers we have counts for
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q-fin.MF2022
Delta family approach for the stochastic control problems of utility maximization
Jingtang Ma, Zhengyang Lu, Zhenyu Cui
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equati…
q-fin.MF2021
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…
q-fin.MF2018
Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems
Jingtang Ma, Jie Xing, Harry Zheng
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variatio…