1 citations · 1 across the 4 of their papers we have counts for
5 papers
A sharp upper bound for the expected occupation density of Itô processes with bounded irregular drift and diffusion coefficients
Paul Krühner, Shijie Xu
We find explicit and optimal upper bounds for the expected occupation density for an Itô-process when its drift and diffusion coefficients are unknown under boundedness and ellipti…
Brownian trading excursions and avalanches
Friedrich Hubalek, Paul Krühner, Thorsten Rheinländer
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-be…
The Impact of Negative Interest Rates on Optimal Capital Injections
Julia Eisenberg, Paul Krühner
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the…
Derivatives pricing in energy markets: an infinite dimensional approach
Fred Espen Benth, Paul Krühner
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical eviden…
Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth, Paul Krühner
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward d…