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Browsing Articles (Departament d'Economia) by Subject "Malliavin calculus"

Browsing Articles (Departament d'Economia) by Subject "Malliavin calculus"

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  • Kohatsu-Higa, Arturo; Nualart, Eulàlia; Tran, Ngoc Khue (Elsevier, 2022)
    We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite moments. We show upper and lower estimates ...
  • Dalang, Robert C.; Khoshnevisan, Davar; Nualart, Eulàlia (Springer, 2009)
    We consider a system of d non-linear stochastic heat equations in spatial dimension 1 driven by d-dimensional space-time white noise. The non-linearities appear both as additive drift terms and as multipliers of the noise. ...
  • Kohatsu, Arturo; Nualart, Eulàlia; Tran, Ngoc Khue (Taylor & Francis (Routledge), 2017)
    In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a compound Poisson process, whose drift coefficient depends on an unknown ...
  • Baudoin, Fabrice; Nualart, Eulàlia; Ouyang, Cheng; Tindel, Samy (Institute of Mathematical Statistics (IMS), 2016)
    This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for ...
  • Alòs, Elisa; García-Lorite, David; Muguruza Gonzalez, Aitor (SIAM (Society for Industrial and Applied Mathematics), 2022)
    We develop a method to study the implied volatility of exotic underlyings, with special focus on volatility derivatives such as VIX options. Remarkably, our approach is flexible enough to be applied to any underlying, ...
  • Alòs, Elisa; León, Jorge A. (Society for Industrial and Applied Mathematics, 2017)
    In this paper we compute analytically the at-the-money second derivative of the implied volatility curve as a function of the strike price, for correlated stochastic volatility models. We also obtain an expression for ...
  • Nualart, Eulàlia (Taylor & Francis, 2012)
    In this paper, we consider a system of k second-order nonlinear stochastic partial differential equations with spatial dimension , driven by a q-dimensional Gaussian noise, which is white in time and with some spatially ...
  • Alòs, Elisa; García-Lorite, David; Pravosud, Makar (Taylor & Francis, 2023)
    In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent 1H+3/2 rule (where H denotes the ...

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