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math.PR2026
Efficient Computation Of Sensitivities For Derivatives In Energy Markets
Fred Espen Benth, Olfa Draouil, Farouk Hammami
In this study, we develop a stochastic framework for computing Delta sensitivities in energy markets, where both prices and traded volumes are modeled as correlated stochastic proc…
math.PR2026
Signature McKean-Vlasov stochastic differential equations
Fred Espen Benth, Salvador Ortiz-Latorre, Leonardo Tarquini
McKean-Vlasov-type stochastic differential equations (SDEs) are characterized by coefficients depending on both the state and the law of the solution. In this work, we focus on a c…
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-invarianc…