2 papers
q-fin.PR2024
A functional variational approach to pricing path dependent insurance policies
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment str…
q-fin.PR2023
Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343.…