3 citations · 5 across the 13 of their papers we have counts for
15 papers
Affine pure-jump Volterra fields
Sven Karbach, Thomas K. Kloster
We study a class of non-negative spatio-temporal random fields that exhibit self-exciting clustering, which we refer to as affine pure-jump Volterra fields. They are defined via st…
Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model
Gijs Custers, Sven Karbach, Martin Friesen
We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatilit…
Pricing and Semi-static Hedging of Green Pay-as-produced Power Purchase Agreements
Konstantinos Chatziandreou, Sven Karbach
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production. This paper develops a theoretical framework f…
Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals
Gianmarco Morbelli, Sven Karbach, Mike Derksen
We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading spee…
Hedging Maturity-Specific Risk in Forward Curve Derivatives under Stochastic Volatility
Riccardo Alberti, Sven Karbach
We study the variance-optimal hedging of European contingent claims written on forwards. We assume that the dynamics of the underlying forward curves follow a Heath--Jarrow--Morton…
Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives
Konstantinos Chatziandreou, Sven Karbach
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dyn…
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
Measure-Valued CARMA Processes
Fred Espen Benth, Sven Karbach, Asma Khedher
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invariance…
Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
Konstantinos Chatziandreou, Sven Karbach
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electr…
Heat modulated affine stochastic volatility models for forward curve dynamics
Sven Karbach
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of t…
Finite-rank approximation of affine processes on positive Hilbert-Schmidt operators
Sven Karbach
In this article, we present a method for approximating affine processes on the cone of positive Hilbert-Schmidt operators using matrix-valued affine processes. By leveraging result…
Multivariate continuous-time autoregressive moving-average processes on cones
Fred Espen Benth, Sven Karbach
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MC…
Stationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces
Martin Friesen, Sven Karbach
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For…
An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…
Affine pure-jump processes on positive Hilbert-Schmidt operators
Sonja Cox, Sven Karbach, Asma Khedher
We show the existence of a broad class of affine Markov processes in the cone of positive self-adjoint Hilbert-Schmidt operators. Such processes are well-suited as infinite dimensi…