2 citations · 2 across the 3 of their papers we have counts for
9 papers
Change of measure in a Heston-Hawkes stochastic volatility model
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting count…
Life insurance policies with cash flows subject to random interest rate changes
David R. Baños
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits an…
Variance and interest rate risk in unit-linked insurance policies
David R. Baños, Marc Lagunas-Merino, Salvador Ortiz-Latorre
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatil…
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
David Baños, Martin Bauer, Thilo Meyer-Brandis +1
In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with si…
Regularity Properties of the Stochastic Flow of a Skew Fractional Brownian Motion
Oussama Amine, David R. Baños, Frank Proske
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive…
Strong Uniqueness of Singular Stochastic Delay Equations
D. Baños, H. H. Haferkorn, F. Proske
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector fie…