Browsing NHH Brage by Author "Di Nunno, Giulia"
Now showing items 1-7 of 7
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A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes
Di Nunno, Giulia; Vives, Josep (Peer reviewed; Journal article, 2017)In this paper we develop a Malliavin–Skorohod type calculus for additive processes in the L1 and L1 settings, extending the probabilistic interpretation of the Malliavin–Skorohod operators to this context. We prove calculus ... -
A Maximum Principle for Mean-Field SDEs with Time Change
Di Nunno, Giulia; Haferkorn, Hannes Hagen (Journal article; Peer reviewed, 2017)Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a ... -
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton (Peer reviewed; Journal article, 2022) -
From Constant to Rough: A Survey of Continuous Volatility Modeling
Di Nunno, Giulia; Kubilius, Kestutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton (Peer reviewed; Journal article, 2023)In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field. Special attention is dedicated to ... -
Kyle equilibrium under random price pressure
Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose (Peer reviewed; Journal article, 2019)We study the equilibrium in the model proposed by Kyle (Econometrica 53(6):1315–1335, 1985) and extended to the continuous-time setting by Back (Rev Financ Stud 5(3):387–409, 1992). The novelty of this paper is that we ... -
On stochastic control for time changed Lévy dynamics
Di Nunno, Giulia (Peer reviewed; Journal article, 2022)Controlled stochastic differential equations driven by time changed Lévy noises do not enjoy the Markov property in general, but can be treated in the framework of general martingales. From the modelling point of view, ... -
On the approximation of Lévy driven Volterra processes and their integrals
Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove (Journal article; Peer reviewed, 2019)Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g.temperatures and wind and the related financial derivatives. Volterra processes are ...