This paper derives optimal investment strategies for the 4/2 stochastic volatility model
proposed in [Grasselli, M., The 4/2 stochastic volatility model: a unified approach for the …

This paper provides the first optimal portfolio analysis for a constant relative risk-averse and
ambiguity-averse investor under the state-of-the-art 4/2 stochastic volatility model in a …

In this paper, we present a new method for simulating integrals of stochastic processes. We
focus on the nontrivial case of time integrals, conditional on the state variable levels at the …

In this paper, we propose a parsimonious and efficient model to price derivatives written on
VIXs with different horizons. Our model is built on Luo and Zhang's (2012, J Futures Markets …

With the availability of social networks, specialized forums, and online news, sentiment
analysis has become a common and useful technique for the analysis of economic and …

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

This paper focuses on the pricing of variance swaps in incomplete markets where the short
rate of interest is determined by a Cox–Ingersoll–Ross model and the stock price is …

This paper introduces a multivariate 4/2 stochastic covariance process generalizing the one-
dimensional counterparts presented in [Grasselli, M., The 4/2 stochastic volatility model: A …

This paper studies optimally defined contribution (DC) pension investment problems under
the expected utility maximization framework with stochastic income and inflation risks. The …

It remains a challenge for existing financial models to accurately capture the shapes of
implied volatility (IV) of options with all maturities simultaneously. Inspired by Chen et al.'s …