3 citations · 5 across the 13 of their papers we have counts for
6 papers · 1 filter
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…