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math.PR2020
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…
math.PR2020
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…