10 citations · 19 across the 10 of their papers we have counts for
11 papers
Shape of term structures compatible with flexible choice of diffusion
Andreas Celary, Paul Krühner
We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds canno…
Reproducing kernel Hilbert space methods for modelling the discount curve
Andreas Celary, Paul Krühner, Zehra Eksi
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional…
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…
Statistically consistent term structures have affine geometry
Paul Krühner, Shijie Xu
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one…
Explicit local density bounds for Itô-processes with irregular drift
Paul Krühner, Shijie Xu
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be…
Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Maximising with-profit pensions without guarantees
M. Carmen Boado-Penas, Julia Eisenberg, Paul Krühner
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing th…
Suboptimal Control of Dividends under Exponential Utility
Julia Eisenberg, Paul Krühner
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend pa…
Independent increment processes: A multilinearity preserving property
Fred Espen Benth, Nils Detering, Paul Kruhner
We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space . It is…
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…
Subordination of Hilbert space valued Lévy processes
Fred E. Benth, Paul Krühner
We generalise multivariate subordination of Lévy processes as introduced by Barndorff-Nielsen, Pedersen, and Sato to Hilbert space valued Lévy processes. The processes are explicit…