FG Finanz- und Versicherungsmathematik

2 Items

Recent Submissions
Rough volatility models

Stemper, Benjamin Marco (2019)

So-called rough stochastic volatility models constitute the latest advancement in option price modeling. In contrast to popular bivariate diffusion models such as Heston, here the driving noise of volatility is modeled by a fractional Brownian motion (fBM) with scaling in the rough regime of Hurst parameter H < 1/2. A major appeal of such models lies in their ability to parsimoniously recover k...

Eikonal equations and pathwise solutions to fully non-linear SPDEs

Friz, Peter K. ; Gassiat, Paul ; Lions, Pierre-Louis ; Souganidis, Panagiotis E. (2016)

Panagiotis E.