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- W1531627377 abstract "We derive optimality conditions and calculate approximate solutions to the problem of determining the optimal speed of mean reversion to be applied to a Gaussian state variable. The optimality criterion is the minimization of the variance of the Radon-Nikodym derivative of the measure ”with mean-reversion ” with respect to the measure ”without mean-reversion ”under constraints. Our results have two main applications. First, we show that we can increase the speed of performing resimulation and sensitivity analysis in a Monte Carlo simulation. Second, we show that there is some phase delay between the optimal speed of mean-reversion and volatility. Incorporating this effect into preference modelling could contribute to solve the equity premium puzzle in finance." @default.
- W1531627377 created "2016-06-24" @default.
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- W1531627377 date "2002-05-01" @default.
- W1531627377 modified "2023-09-27" @default.
- W1531627377 title "Optimal Changes of Gaussian Measures, with Application to Finance" @default.
- W1531627377 hasPublicationYear "2002" @default.
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