1 citations · 2 across the 8 of their papers we have counts for
9 papers
Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
Emmanuel Coffie
We study a delayed stochastic interest rate model with superlinearly growing coefficients and develop novel analytical tools to investigate the properties of both the true solution…
On the Analysis of a Singular Stochastic Volterra Differential Equation driven by a Wiener Noise
Emmanuel Coffie, Olivier Menoukeu-Pamen, Frank Proske
In this article, we construct unique strong solutions to a class of stochastic Volterra differential equations driven by a singular drift vector field and a Wiener noise. Further,…
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model
Emmanuel Coffie, Xuerong Mao, Frank Proske
Fractional Brownian motion with the Hurst parameter is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we…
Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process
Emmanuel Coffie
It is well documented from various empirical studies that the volatility process of an asset price dynamics is stochastic. This phenomenon called for a new approach to describing t…
Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
Emmanuel Coffie
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate sp…
Sensitivity Analysis with respect to a Stock Price Model with Rough Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded…
Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations
Emmanuel Coffie
In this paper, we study analytical properties of the solutions to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jump. Since this model does not hav…
Thiele's Differential Equation Based on Markov Jump Processes with Non-countable State Space
Emmanuel Coffie, Sindre Duedahl, Frank Proske
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the stat…
A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling
Oussama Amine, Emmanuel Coffie, Fabian Harang +1
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a mult…