2 citations · 3 across the 8 of their papers we have counts for
10 papers
Measure-Valued CARMA Processes
Fred Espen Benth, Sven Karbach, Asma Khedher
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invariance…
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
Infinite-dimensional Wishart-processes
Sonja Cox, Christa Cuchiero, Asma Khedher
We introduce and analyse infinite dimensional Wishart processes taking values in the cone of positive self-adjoint trace class operators on a separable real Hilbert spac…
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Matteo Michielon, Asma Khedher, Peter Spreij
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, as their risk-neutral counterparts a…
An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…
Affine pure-jump processes on positive Hilbert-Schmidt operators
Sonja Cox, Sven Karbach, Asma Khedher
We show the existence of a broad class of affine Markov processes in the cone of positive self-adjoint Hilbert-Schmidt operators. Such processes are well-suited as infinite dimensi…
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…
A Kalman particle filter for online parameter estimation with applications to affine models
Jian He, Asma Khedher, Peter Spreij
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an…
Pricing of commodity derivatives on processes with memory
Fred Espen Benth, Asma Khedher, Michèle Vanmaele
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with…
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Giulia Di Nunno, Asma Khedher, Michele Vanmaele
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximation…