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Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility · Study

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ArticleOrnstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

Fred Espen Benth2017

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Articlebronze2017

Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

Fred Espen Benth · Barbara Ruediger · André Süß

21 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Stochastic processes and statistical mechanics

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2003Affine processes and applications in finance 2009Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models 2007Stochastic integration in UMD Banach spaces 2013Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes 2010Multivariate supOU processes

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Year2017

Typearticle

Published2017-06-09

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2017.05.005

openalex_workW2188988949

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