no code implementations • 23 Jun 2023 • Julian Hölzermann
The optimal investment problem admits a closed-form solution.
no code implementations • 10 Mar 2020 • Julian Hölzermann
In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty in the sense of Knightian uncertainty or model uncertainty.
no code implementations • 5 Apr 2019 • Julian Hölzermann
We model the instantaneous forward rate as a diffusion process driven by a G-Brownian motion.
no code implementations • 10 Aug 2018 • Julian Hölzermann
The main question in this setting is how to find an arbitrage-free term structure.
