Zobrazeno 1 - 10
of 80
pro vyhledávání: '"Giulia di Nunno"'
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 11, Iss 2, Pp 169-194 (2024)
The paper presents an analytical proof demonstrating that the Sandwiched Volterra Volatility (SVV) model is able to reproduce the power-law behavior of the at-the-money implied volatility skew, provided the correct choice of the Volterra kernel. To o
Externí odkaz:
https://doaj.org/article/ad4de6fbaed549e5a0045a58bea3c90b
Publikováno v:
Mathematics, Vol 11, Iss 19, p 4201 (2023)
In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to fractional and rough methods
Externí odkaz:
https://doaj.org/article/0219b34cfeaa4638b3cc22556fc6dda8
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 7 (2021)
Externí odkaz:
https://doaj.org/article/975c7b05580b410296dee1b39333d9d6
Autor:
Fred Espen Benth, Giulia Di Nunno
These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The paper
Publikováno v:
Stochastic Processes and their Applications. 158:170-207
This paper introduces SPDE bridges with observation noise and contains an analysis of their spatially semidiscrete approximations. The SPDEs are considered in the form of mild solutions in an abstract Hilbert space framework suitable for parabolic eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::243fc96d18eef9282203c50199e80c50
https://doi.org/10.1016/j.spa.2023.01.007
https://doi.org/10.1016/j.spa.2023.01.007
Publikováno v:
Numerical Algorithms. 93:459-491
In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $λ$-Hölder continuous process, $λ\in(0,1)$. We prove that, under some mi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4970706b90f6fd8f64240e84e691d1e6
https://doi.org/10.1007/s11075-022-01424-6
https://doi.org/10.1007/s11075-022-01424-6
Autor:
Giulia di Nunno, Michele Giordano
Publikováno v:
Annals of Operations Research.
Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed Lévy noises, which are in general not Markovian. To exploit the nature of the noise, we make use of diffe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::372863768a6c577e7a19d2216f815edd
https://doi.org/10.1007/s10479-023-05303-8
https://doi.org/10.1007/s10479-023-05303-8
Autor:
Giulia di Nunno
Controlled stochastic differential equations driven by time changed Lévy noises do not enjoy the Markov property in general, but can be treated in the framework of general martingales. From the modelling point of view, time changed noises constitute
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a37cb39698133ef12a031471eff6e87
http://hdl.handle.net/10852/99865
http://hdl.handle.net/10852/99865
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783031178191
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a00fd850d2334867a542f63a7dd7dac
https://doi.org/10.1007/978-3-031-17820-7_14
https://doi.org/10.1007/978-3-031-17820-7_14
Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic issues, making a deeper theoretical understan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e95d94706edb987ae7536c131d3ed662
http://hdl.handle.net/10852/93802
http://hdl.handle.net/10852/93802