oriolz

• Banos, David Ruiz; Ortiz-Latorre, Salvador & Font, Oriol Zamora (2026). A functional variational approach to pricing path dependent insurance policies. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. Fulltekst i vitenarkiv Vis sammendrag

  The main purpose of this work is the derivation of a path-dependent partial differential equation for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional Itô calculus.

• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2024). Change of measure in a Heston–Hawkes stochastic volatility model. Advances in Applied Probability. ISSN 0001-8678. 56, s. 1370–1399. doi: 10.1017/apr.2024.14. Fulltekst i vitenarkiv Vis sammendrag

  We consider the stochastic volatility model obtained by adding a compound Hawkes process to the volatility of the well-known Heston model. A Hawkes process is a self-exciting counting process with many applications in mathematical finance, insurance, epidemiology, seismology, and other fields. We prove a general result on the existence of a family of equivalent (local) martingale measures. We apply this result to a particular example where the sizes of the jumps are exponentially distributed. Finally, a practical application to efficient computation of exposures is discussed.

• Font, Oriol Zamora (2024). Pricing VIX options under the Heston-Hawkes stochastic volatility model. arXiv.org. ISSN 2331-8422. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model. arXiv.org. ISSN 2331-8422. Fulltekst i vitenarkiv

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• Font, Oriol Zamora (2024). Pricing VIX options under the Heston-Hawkes stochastic volatility model. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes Stochastic Volatility Model: Change of Measure and Forward Variance. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: change of measure and forward variance. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Change of measure in a Heston-Hawkes stochastic volatility model. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2023). Heston-Hawkes stochastic volatility model: Change of measure and Thiele's PIDE. Fulltekst i vitenarkiv
• Font, Oriol Zamora; Baños, David & Ortiz-Latorre, Salvador (2022). Change of measure in a Heston-Hawkes stochastic volatility model. Fulltekst i vitenarkiv

Se alle arbeider i NVA