Kufakunesu, Rodwell2012-05-172012-05-172011Kufakunesu, R 2011, 'The density process of the minimal entropy martingale measure in a stochastic volatility market : a PDE approach', Queastiones Mathematicae, vol. 34, pp. 147-174.1607-3606 (print)10.2989/16073606.2011.594229http://hdl.handle.net/2263/18777In 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 in a recent paper by Benth and Karlsen. However, there are some cases which time-dependent parameters are required such as when it comes to calibration. This paper generalizes their model to the time-inhomogeneous case.en© 2011 NISC Pty Ltd.Utility optimisationStochastic volatilityIncomplete marketMinimal entropyMartingale measureHamilton-Jacobi-Bellman equationMartingales (Mathematics)Differential equations, PartialPostprint Article