dc.date.accessioned | 2019-12-09T19:51:42Z | |
dc.date.available | 2019-12-09T19:51:42Z | |
dc.date.created | 2018-09-17T15:29:00Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Benth, Fred Espen Simonsen, Iben Cathrine . The Heston stochastic volatility model in Hilbert space. Stochastic Analysis and Applications. 2018, 36(4), 733-750 | |
dc.identifier.uri | http://hdl.handle.net/10852/71465 | |
dc.description.abstract | We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein–Uhlenbeck process with itself. The volatility process is then defined by a Cholesky decomposition of the variance process. We define a Hilbert-valued Ornstein–Uhlenbeck process with Wiener noise perturbed by this stochastic volatility, and compute the characteristic functional and covariance operator of this process. This process is then applied to the modeling of forward curves in energy and commodity markets. Finally, we compute the dynamics of the tensor Heston volatility model when the generator is bounded, and study its projection down to the real line for comparison with the classical Heston dynamics. | |
dc.language | EN | |
dc.title | The Heston stochastic volatility model in Hilbert space | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Simonsen, Iben Cathrine | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1610269 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Analysis and Applications&rft.volume=36&rft.spage=733&rft.date=2018 | |
dc.identifier.jtitle | Stochastic Analysis and Applications | |
dc.identifier.volume | 36 | |
dc.identifier.issue | 4 | |
dc.identifier.startpage | 733 | |
dc.identifier.endpage | 750 | |
dc.identifier.doi | https://doi.org/10.1080/07362994.2018.1461566 | |
dc.identifier.urn | URN:NBN:no-74560 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0736-2994 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/71465/2/heston-benthsimonsen.pdf | |
dc.type.version | AcceptedVersion | |
dc.relation.project | NFR/239019 | |