2 citations · 3 across the 8 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…