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A functional variational approach to pricing path dependent insurance policies

Autor: Baños, David R., Ortiz-Latorre, Salvador, Font, Oriol Zamora

The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To th

Externí odkaz: http://arxiv.org/abs/2409.00780

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Pricing VIX options under the Heston-Hawkes stochastic volatility model

Autor: Font, Oriol Zamora

We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding an indepe

Externí odkaz: http://arxiv.org/abs/2406.13508

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Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model

Autor: Baños, David R., Ortiz-Latorre, Salvador, Font, Oriol Zamora

The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This model is an extension of the well-known Heston model that incorpo

Externí odkaz: http://arxiv.org/abs/2309.03541

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Change of measure in a Heston-Hawkes stochastic volatility model

Autor: Baños, David R., Ortiz-Latorre, Salvador, Font, Oriol Zamora

We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance, insurance,

Externí odkaz: http://arxiv.org/abs/2210.15343

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