Search Results - subject:"polynomial processes"

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Joint calibration to SPX and VIX options with signature-based models

Cuchiero, Christa; Gazzani, Guido; Möller, Janka; … - 2025

Persistent link: https://www.econbiz.de/10015359034

Risk management in energy markets : analytical and machine learning perspectives

Kleisinger-Yu, Xi - 2021

Persistent link: https://www.econbiz.de/10012581791

Pricing interest rate, dividend, and equity risk

Willems, Sander - 2019

Persistent link: https://www.econbiz.de/10012198741

Jacobi stochastic volatility factor for the LIBOR market model

Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823

Persistent link: https://www.econbiz.de/10013440251

Polynomial processes for power prices

Filipović, Damir; Larsson, Martin; Ware, Tony - 2018

Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state … explore the application of polynomial processes in the context of structural models for energy prices. We focus on the example …

Persistent link: https://www.econbiz.de/10011899816

Infinite-dimensional polynomial processes

Cuchiero, Christa; Svaluto-Ferro, Sara - In: Finance and stochastics 25 (2021) 2, pp. 383-426

Persistent link: https://www.econbiz.de/10012499741

Linear stochastic dividend model

Willems, Sander - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10012496908

Polynomial processes for power prices

Ware, Tony - In: Applied mathematical finance 26 (2019) 5, pp. 453-474

Persistent link: https://www.econbiz.de/10012210415

Cointegration in continuous time for factor models

Benth, Fred Espen; Süss, Andre - In: Mathematics and financial economics 13 (2019) 1, pp. 87-114

Persistent link: https://www.econbiz.de/10012055754

Infinitesimal generators of q-Meixner processes

Bryc, Wlodzimierz; Wesołowski, Jacek - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 915-926

We show that the weak infinitesimal generator of a class of Markov processes acts on bounded continuous functions with bounded continuous second derivative as a singular integral with respect to the orthogonality measure of the explicit family of polynomials.

Persistent link: https://www.econbiz.de/10011064907

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