Browsing Matematisk institutt by Author "MeyerBrandis, Thilo"
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Di Nunno, Giulia; KohatsuHiga, Arturo; MeyerBrandis, Thilo; Øksendal, Bernt; Proske, Frank; Sulem, Agnès (Research report / Forskningsrapport, 2005)An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...

Mandrekar, V.; MeyerBrandis, Thilo; Proske, Frank (Research report / Forskningsrapport, 2007)A Bayes type formula is derived for the nonlinear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well know ...

Baños, David Ruiz; MeyerBrandis, Thilo; Proske, Frank Norbert; Duedahl, Sindre (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)A wellknown application of Malliavin calculus in mathematical finance is the probabilistic representation of option price sensitivities, the socalled Greeks, as expectation functionals that do not involve the derivative ...

Baños, David Ruiz; Duedahl, Sindre; MeyerBrandis, Thilo; Proske, Frank Norbert (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)In this paper we aim at employing a compactness criterion of Da Prato, Malliavin, Nualart (C. R. Math. Acad. Sci. Paris 315 (1992) 1287–1291) for square integrable Brownian functionals to construct strong solutions of SDE’s ...

MeyerBrandis, Thilo (Research report / Forskningsrapport, 2005)We develop a white noise framework and the theory of stochastic distribution spaces for Hilbert space valued Lévy processes in order to study generalized solutions of stochastic evolution equations in these spaces driven ...

MeyerBrandis, Thilo; Proske, Frank (Research report / Forskningsrapport, 2004)In this paper we present a method to derive explicit representations of strong solutions of forward stochastic differential equations driven by a Brownian motion. These representations open new perspectives in the study ...

Explicit Representation of Strong Solutions of SDE's driven by Infinite Dimensional Lévy Processes MeyerBrandis, Thilo; Proske, Frank (Research report / Forskningsrapport, 2008)We develop a white noise framework for Lévy processes on Hilbert spaces. As the main result of this paper, we then employ the white noise technique to explicitly represent strong solutions of stochastic differential equations ...

Explicit Solution of a Nonlinear Filtering Problem for Lévy Processes with Application to Finance MeyerBrandis, Thilo; Proske, Frank (Research report / Forskningsrapport, 2003)In this paper we explicitly solve a nonlinear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by ...

Biagini, Francesca; Mazzon, Andrea; MeyerBrandis, Thilo (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a coreperiphery structure, where banks in the core hold a bubbly asset. Investments are modeled ...

MeyerBrandis, Thilo; Proske, Frank; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2010)In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...

Cartea, Álvaro; MeyerBrandis, Thilo (Research report / Forskningsrapport, 2007)We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultrahighfrequency ...

Benth, Fred Espen; MeyerBrandis, Thilo (Research report / Forskningsrapport, 2004)We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by BarndorffNielsen and Shephard (2001). The pricing equation ...

Benth, Fred Espen; MeyerBrandis, Thilo (Research report / Forskningsrapport, 2008)Electricity is a commodity which is nonstorable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...

Biagini, Francesca; MeyerBrandis, Thilo; Hu, Yaozhong; Øksendal, Bernt (Research report / Forskningsrapport, 2011)

Biagini, Francesca; Mazzon, Andrea; MeyerBrandis, Thilo (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously given, as in [R. Jarrow, ...

Di Nunno, Giulia; MeyerBrandis, Thilo; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2003)We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...

MeyerBrandis, Thilo; Proske, Frank; Salleh, Hassilah Binti; Menoukeu Pamen, Olivier (Research report / Forskningsrapport, 2007)In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal ...

MeyerBrandis, Thilo; Tankov, Peter (Research report / Forskningsrapport, 2007)The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is traded like any other com modity. In this paper, we study the most salient statistical features of ...

Benth, Fred Espen; Kallsen, Jan; MeyerBrandis, Thilo (Research report / Forskningsrapport, 2005)We propose an meanreverting model for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of nonGaussian OrnsteinUhlenbeck processes with jump processes ...

MeyerBrandis, Thilo; Proske, Frank (Research report / Forskningsrapport, 2004)We present a method to study strong solutions of stochastic differential equations driven by Lévy processes, whose coefficients are admitted to be irregular. Furthermore we give explicit representations of solutions of such SDE's.