2 papers
math.PR2020
Sensitivity analysis in the infinite dimensional Heston model
Fred Espen Benth, Giulia Di Nunno, Iben Cathrine Simonsen
We consider the infinite dimensional Heston stochastic volatility model proposed in \arXiv:1706:03500. The price of a forward contract on a non-storable commodity is modelled by a…
math.PR2017
The Heston stochastic volatility model in Hilbert space
Fred Espen Benth, Iben Cathrine Simonsen
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Orns…