Browsing Matematisk institutt by Author "Lagunas, Marc"

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  • Self-Exciting Multifractional Processes 
    Harang, Fabian Andsem; Lagunas, Marc; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
    We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension ...
  • Variance and interest rate risk in unit-linked insurance policies 
    Baños, David; Lagunas, Marc; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
    One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance ...