Open AccessMean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
Author(s) -
Yumo Zhang
Publication year - 2022
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2022121
Subject(s) - stochastic volatility , rendleman–bartter model , interest rate , econometrics , heston model , stochastic differential equation , economics , volatility (finance) , derivative (finance) , short rate model , bond , vasicek model , mathematics , sabr volatility model , financial economics , finance
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