33 citations · 34 across the 3 of their papers we have counts for
3 papers
math.PR2019
Free CIR Processes
Holger Fink, Henry Port, Georg Schlüchtermann
For stochastic processes of non-commuting random variables we formulate a Cox-Ingersoll-Ross (CIR) stochastic differential equation in the context of free probability theory which…
q-fin.ST2016★ 1 cited
Regime switching vine copula models for global equity and volatility indices
Holger Fink, Yulia Klimova, Claudia Czado +1
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncerta…
math.ST2011★ 33 cited
Fractional Lévy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
Holger Fink, Claudia Klüppelberg
Using Riemann-Stieltjes methods for integrators of bounded -variation we define a pathwise integral driven by a fractional Lévy process (FLP). To explicitly solve general fracti…