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Let $V_t$ be a solution of the SDE $$dV_t=V_t(rdt+\sigma_t dW_t) $$ where $\sigma_t$ satisfies some other SDE $$d\sigma_t=\alpha(t,\sigma_t)dt+\beta(t,\sigma_t)dW^{\\ \prime}_t $$ and $W_t$ and $...

Let me start by begging your forebearance; this question might at first glance appear to belong more on a forum for economics, but I hope by the end to convince you that there is mathematical content ...

I am currently doing some research with a quantitative finance firm and my supervisor has raised an interesting question that shows up a lot with their clients: quite often, clients will want to do ...

In insurance mathematics, one often models the underlying of an insurance policy with a Black Scholes model on a filtered probability space $(\Omega,\mathbb{Q},\mathcal{F},\mathbb{F}=(\mathcal{F}_{t}))...