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q-fin.PR2017
Pricing of commodity derivatives on processes with memory
Fred Espen Benth, Asma Khedher, Michèle Vanmaele
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with…
math.PR2017
Cointegration in continuous time for factor models
Fred Espen Benth, Andre Suess
We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and…
math.PR2017
The Heston stochastic volatility model in Hilbert space
Fred Espen Benth, Iben Cathrine Simonsen
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Orns…