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LANGRENÉ Nicolas
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2016
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2015
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英语English
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Approximate stochastic dyna...
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Crop rotation
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Least-squares Monte Carlo
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Portfolio optimization
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Rainfall
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Stochastic volatility
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International Journal of Th...
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Switching to nonaffine stochastic volatility: A closed-form expansion for the inverse gamma model
Journal article
International Journal of Theoretical and Applied Finance,2016, volume: 19, issue: 5
Authors:
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
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View/Download：3/0
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Submit date：2022/08/29
dynamic SABR
inverse gamma
log-normal
mean-reverting SABR
option pricing
Stochastic volatility
volatility expansion
Choosing crop rotations under uncertainty: A multi-period dynamic portfolio optimization approach
Conference paper
Proceedings - 21st International Congress on Modelling and Simulation, MODSIM 2015
Authors:
Lee，Geoffrey
;
Bao，Chenming
;
Langrene，Nicolas
;
Zhu，Zili
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Submit date：2022/08/29
Approximate stochastic dynamic programming
Crop rotation
Least-squares Monte Carlo
Portfolio optimization
Rainfall
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