The paper derives an exact simulation scheme for the OU-driven SV model by expanding the volatility process in a Karhunen-Loève sine series, yielding closed-form expressions for integrated volatility and variance as series of independent Gaussians.
Roberto Iacono and Bård Smedsvik
3 Pith papers cite this work. Polarity classification is still indexing.
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SGD weight matrices are portfolio allocations whose spectra transition from Marchenko-Pastur to inverse-Wishart, unified by a Spectral Invariance Theorem that preserves singular-value distributions under isotropic perturbations.
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.
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Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions
The paper derives an exact simulation scheme for the OU-driven SV model by expanding the volatility process in a Karhunen-Loève sine series, yielding closed-form expressions for integrated volatility and variance as series of independent Gaussians.
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Spectral Portfolio Theory: From SGD Weight Matrices to Wealth Dynamics
SGD weight matrices are portfolio allocations whose spectra transition from Marchenko-Pastur to inverse-Wishart, unified by a Spectral Invariance Theorem that preserves singular-value distributions under isotropic perturbations.
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Extensions to the Wealth Tax Neutrality Framework
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.