13 citations · 28 across the 13 of their papers we have counts for
17 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…
C-infinity-regularization by Noise of Singular ODE's
Oussama Amine, David Baños, Frank Proske
In this paper we construct a new type of noise of fractional nature that has a strong regularizing effect on differential equations. We consider an equation with this noise with a…
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…
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise
David R. Baños, Salvador Ortiz-Latorre, Andrey Pilipenko +1
In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2.…
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additi…
Stochastic systems with memory and jumps
D. R. Baños, F. Cordoni, G. Di Nunno +2
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study the…
Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDE's with singular drift
David Baños, Torstein Nilssen, Frank Proske
In this paper we present a new method for the construction of strong solutions of SDE's with merely integrable drift coefficients driven by a multidimensional fractional Brownian m…
The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
David R. Baños
We generalise the so-called Bismut-Elworthy-Li formula to a class of stochastic differential equations whose coefficients might depend on the law of the solution. We give some exam…
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
David R. Baños, Sindre Duedahl, Thilo Meyer-Brandis +1
In this paper we aim at employing a compactness criterion of Da Prato, Malliavin, Nualart for square integrable Brownian functionals to construct unique strong solutions of SDE's u…
Malliavin and flow regularity of SDEs. Application to the study of densities and the stochastic transport equation
David Banos, Torstein Nilssen
In this work we present a condition for the regularity, in both space and Malliavin sense, of strong solutions to SDEs driven by Brownian motion. We conjecture that this condition…
Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explic…
Sensitivity analysis in a market with memory
David R. Banos, Giulia Di Nunno, Frank Proske
A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dep…