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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…