8 papers
Capturing cash non-additivity and horizon risk via BSDEs and generalized shortfall
Giulia Di Nunno, Emanuela Rosazza Gianin
Whenever dealing with horizons of different times scales, risk evaluation of losses may incur in both interest rate uncertainty and horizon risk as introduced in [11]. With the goa…
On a finite quasi birth-death process with catastrophes and its diffusion approximation
Giulia Di Nunno, Barbara Martinucci, Serena Spina
We study a multi-type Ehrenfest process modeled as a finite quasi-birth-death (QBD) process. We assume that the transitions are allowed only to the two adjacent levels of the same…
A Topological Proof of Sklar's Theorem in Arbitrary Dimensions
Fred Espen Benth, Giulia Di Nunno, Dennis Schroers
We prove Sklar's theorem in infinite dimensions via a topological argument and the notion of inverse systems.
Sensitivity analysis in the infinite dimensional Heston model
Fred Espen Benth, Giulia Di Nunno, Iben Cathrine Simonsen
We consider the infinite dimensional Heston stochastic volatility model proposed in \arXiv:1706:03500. The price of a forward contract on a non-storable commodity is modelled by a…
Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
Giulia Di Nunno, Yuliya Mishura, Kostiantyn Ralchenko
We study the existence and uniqueness of solutions to stochastic differential equations with Volterra processes driven by Lévy noise. For this purpose, we study in detail smoothnes…
On the approximation of Lévy driven Volterra processes and their integrals
Giulia di Nunno, Andrea Fiacco, Erik Hove Karlsen
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related finan…
Hedging under worst-case-scenario in a market driven by time-changed Lévy noises
Giulia Di Nunno, Erik Hove Karlsen
In an incomplete market driven by time-changed Lévy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we st…
Extension theorems for linear operators on and application to price systems
Jocelyne Bion-Nadal, Giulia Di Nunno
In an -framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. The…