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Bates and Heston Model Numerics: CIR Process Simulation and Infinite Activity Jumps

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February 25th, 2026

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Indifference Strategies and Viscosity Solutions in Worst-Case Portfolio Optimization

Worst-Case Portfolio Optimization and Stochastic Control References

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science #mathematics #worst-case-portfolio #stochastic-control #worst-case-approach #portfolio-optimization #indifference-strategies #incomplete-markets #heston-model

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