An infinite‐dimensional affine stochastic volatility model-Reference-Cited by-同舟云学术

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An infinite‐dimensional affine stochastic volatility model

Published:2022-03-29 Issue:3 Volume:32 Page:878-906
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Cox Sonja¹^ORCID,Karbach Sven¹^ORCID,Khedher Asma¹^ORCID

Affiliation:

1. Korteweg‐de Vries Institute for Mathematics University of Amsterdam Amsterdam The Netherlands

Funder

Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12347

Reference42 articles.

1. Positive‐definite matrix processes of finite variation;Barndorff‐Nielsen O. E.;Probability and Mathematical Statistics,2007

2. Representation of Infinite-Dimensional Forward Price Models in Commodity Markets

3. Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach

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

5. Benth F. E. &Sgarra C.(2021).A Barndorff–Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets.Available at SSRN 3835053.

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1. A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets;Finance and Stochastics;2024-09-12

2. Measure-valued affine and polynomial diffusions;Stochastic Processes and their Applications;2024-09

3. A feasible central limit theorem for realised covariation of SPDEs in the context of functional data;The Annals of Applied Probability;2024-04-01

4. Infinite-dimensional Wishart processes;Electronic Journal of Probability;2024-01-01

5. Heath-Jarrow-Morton Type Models;Springer Finance;2023

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