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pro vyhledávání: '"Coffie, Emmanuel"'
Fractional Brownian motion with the Hurst parameter $H<\frac{1}{2}$ is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a fractional
Externí odkaz:
http://arxiv.org/abs/2205.00729
Autor:
Coffie, Emmanuel
It is well documented from various empirical studies that the volatility process of an asset price dynamics is stochastic. This phenomenon called for a new approach to describing the random evolution of volatility through time with stochastic models.
Externí odkaz:
http://arxiv.org/abs/2205.00634
In this paper, we show the existence of unique Malliavin differentiable solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter H<1/2 and singular, unbounded drift vector fields, for which we also prove a stability result. Furt
Externí odkaz:
http://arxiv.org/abs/2107.06022
Autor:
Coffie, Emmanuel
While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to empirical pheno
Externí odkaz:
http://arxiv.org/abs/2107.03712
Autor:
Coffie, Emmanuel
In this paper, we study analytical properties of the solutions to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jump. Since this model does not have explicit solution, we employ several new truncated Euler-Maruyama (E
Externí odkaz:
http://arxiv.org/abs/2103.07651
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability insurance, w
Externí odkaz:
http://arxiv.org/abs/2102.10047
Publikováno v:
In Stochastic Processes and their Applications February 2023 156:156-195
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a multi-dimensional fractional Brownian motion with Hurst parameter $H<1/2$.
Externí odkaz:
http://arxiv.org/abs/1805.11435
Autor:
Coffie, Emmanuel1 (AUTHOR) ecoffie205@yahoo.com
Publikováno v:
Stochastic Models. 2024, Vol. 40 Issue 3, p583-616. 34p.
Autor:
Coffie, Emmanuel1 (AUTHOR) emmanuel.coffie@liverpool.ac.uk
Publikováno v:
Statistics & Risk Modeling. Jul2023, Vol. 40 Issue 3/4, p67-89. 23p.