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math.PR2025
A class of locally state-dependent models for forward curves
Nils Detering, Silvia Lavagnini
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and…
math.PR2019
Correlators of Polynomial Processes
Fred Espen Benth, Silvia Lavagnini
In the setting of polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along…