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math.PR2022
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…
math.PR2021
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…
math.PR2018
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…