1 citations · 2 across the 8 of their papers we have counts for
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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…
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…
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…