Zobrazeno 1 - 10
of 263
pro vyhledávání: '"di Nunno, Giulia"'
The transmission of monkeypox is studied using a stochastic model taking into account the biological aspects, the contact mechanisms and the demographic factors together with the intrinsic uncertainties. Our results provide insight into the interacti
Externí odkaz:
http://arxiv.org/abs/2407.05486
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 increasing stochastic process with finitely many jumps in a bounded set of the
Externí odkaz:
http://arxiv.org/abs/2407.02915
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskines
Externí odkaz:
http://arxiv.org/abs/2401.14443
In this paper, we present 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.
Externí odkaz:
http://arxiv.org/abs/2311.01228
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:
http://arxiv.org/abs/2309.01033
Autor:
di Nunno, Giulia, Giordano, Michele
We study a stochastic control problem for a Volterra-type controlled forward equation with past dependence obtained via convolution with a deterministic kernel. To be able to apply dynamic programming to solve the problem, we lift it to infinite dime
Externí odkaz:
http://arxiv.org/abs/2306.14175
In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that dynamic ris
Externí odkaz:
http://arxiv.org/abs/2301.04971
We consider stochastic volatility dynamics driven by a general H\"older continuous Volterra-type noise and with unbounded drift. For these so-called SVV-models, we consider the explicit computation of quadratic hedging strategies. While the theoretic
Externí odkaz:
http://arxiv.org/abs/2209.13054
We introduce a new model of financial market with stochastic volatility driven by an arbitrary H\"older continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the solution to
Externí odkaz:
http://arxiv.org/abs/2209.10688
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additional assumptions are required t
Externí odkaz:
http://arxiv.org/abs/2208.07163