3 papers
math.PR2022
Robustness of Hilbert space-valued stochastic volatility models
Fred Espen Benth, Heidar Eyjolfsson
In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility…
math.PR2021
Multivariate self-exciting jump processes with applications to financial data
Heidar Eyjolfsson, Dag Tjøstheim
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that a…
math.ST2016
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
Fred Espen Benth, Heidar Eyjolfsson
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate s…