SSRN Author: Ludger OverbeckLudger Overbeck SSRN Content
http://www.ssrn.com/author=403514
http://www.ssrn.com/rss/en-usSun, 22 Apr 2018 03:37:46 GMTeditor@ssrn.com (Editor)Sun, 22 Apr 2018 03:37:46 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Path-Dependent Backward Stochastic Volterra Integral Equations with Jumps, Differentiability and Duality PrincipleWe study existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs, in short) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation (FSVIE, in short) with jumps and a linear path-dependent BSVIE with jumps. As a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps.
http://www.ssrn.com/abstract=2836961
http://www.ssrn.com/1685287.htmlSat, 21 Apr 2018 08:14:26 GMTREVISION: Regime Switching Rough Heston ModelThe regime switching rough Heston model has two important features on different time scales. The regime switching is motivated by changes in the long term behaviour. The parameter of the model might change over time due to macro-economic reasons. Therefore we introduce a Markov chain to model the switches in the long term mean of the volatility. The rough behaviour is a more local property and is motivated by the stylized fact that volatility is less regular than a standard Brownian motion. Therefore the driving noise in the model is a fractional Brownian motion. We derive and implement pricing formulae for call and put option and then add some insights into the effects of the rough behaviour and the regime switches to these prices. The techniques are much more involved than for the standard Heston model, since the rough processes do neither have the Markov property nor the semi-martingale property. The regime switches introduce as an additional complexity time inhomegeneity.
http://www.ssrn.com/abstract=3086467
http://www.ssrn.com/1668276.htmlSun, 18 Feb 2018 17:31:05 GMTREVISION: Regime Switching Rough Heston ModelWe consider the implementation and pricing under a regime switching rough Heston model combining the approach by Elliott et al. (2016) with the one by Euch and Rosenbaum (2016).
http://www.ssrn.com/abstract=3086467
http://www.ssrn.com/1651770.htmlThu, 14 Dec 2017 13:08:51 GMT