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q-fin.MF2025
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…
math.PR2025
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…
q-fin.TR2025
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…