6 citations · 15 across the 15 of their papers we have counts for
3 papers · 1 filter
Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Suffocating Fire Sales
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some…
Accuracy of Deep Learning in Calibrating HJM Forward Curves
Fred Espen Benth, Nils Detering, Silvia Lavagnini
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose…