article

Griselda Deelstra and Martino Grasselli


Finance Group (2000) : Optimal Investment Strategies in a CIR Framework




Optimal Investment Strategies in a CIR Framework

Griselda Deelstra and Martino Grasselli




article

Journal of Applied Probability

We study an optimal investment problem in a continuous-time framework where the interest rates follow Cox-Ingersoll-Ross dynamics. Closed form formulae for the optimal investment strategy are obtained by assuming the completeness of financial markets and the CRRA utility function. In particular, we study the behaviour of the solution when time approaches the terminal date.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





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