2 papers
math.OC2018
On the approximation of Lévy driven Volterra processes and their integrals
Giulia di Nunno, Andrea Fiacco, Erik Hove Karlsen
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related finan…
math.PR2015
Hedging under worst-case-scenario in a market driven by time-changed Lévy noises
Giulia Di Nunno, Erik Hove Karlsen
In an incomplete market driven by time-changed Lévy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we st…