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Delta family approach for the stochastic control problems of utility maximization
We obtain an explicit series representation of the value function, whose coefficients are expressed through integration of the value function at a later time point against a chosen basis function.
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options.
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