Emmanuel Coffie

MaRDI QIDQ2023512zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay Stochastic Models	2024-09-02	Paper
On the analysis of Ait-Sahalia-type model for rough volatility modelling Journal of Theoretical Probability	2024-04-02	Paper
Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition Monte Carlo Methods and Applications	2024-03-04	Paper
Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation Statistics & Risk Modeling	2023-09-20	Paper
Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs Stochastic Processes and their Applications	2023-01-02	Paper
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model	2022-05-02	Paper
Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility Communications in Mathematical Sciences	2021-05-03	Paper

Research outcomes over time

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