Articles by Author: Rodwell Kufakunesu

Search results for Rodwell Kufakunesu

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  1. The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach

    The density process of the minimal entropy martingale measure in a stochastic volatility market. A PDE Approach

    Item type: Journal Article • Journal: Quaestiones Mathematicae
    In a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear partial differential equation (PDE). This fact has been explored and illustrated for the time-homogeneous case...
  2. Optimal investment models with stochastic volatility: the time inhomogeneous case

    Optimal investment models with stochastic volatility: the time inhomogeneous case

    Item type: Journal Article • Journal: Quaestiones Mathematicae
    In a recent paper by Pham [11] a multidimensional model with stochastic volatility and portfolio constraints has been proposed, solving a class of investment problems. One feature which is common with these problems is that the resultant Hamilton-Jacobi-Bellman (HJB) partial...
  3. On the multi-dimensional portfolio optimization with stochastic volatility

    On the multi-dimensional portfolio optimization with stochastic volatility

    Item type: Journal Article • Journal: Quaestiones Mathematicae
    In a recent paper by Mnif [18], a solution to the portfolio optimization with stochastic volatility and constraints problem has been proposed, in which most of the model parameters are time-homogeneous. However, there are cases where time-dependent parameters are needed,...
  4. Terms of address usage by police officers at Mbare Police Station, Harare, in conversation with complainants

    Terms of address usage by police officers at Mbare Police Station, Harare, in conversation with complainants

    Item type: Journal Article • Journal: South African Journal of African Languages
    This article describes terms of address usage by police officers at Mbare Police Station, Harare, in conversation with members of the public who came to report cases from 3 June 2010 to 12 October 2010. The researchers visited the police...