The Heston stochastic volatility model in Hilbert space
From MaRDI portal
Publication:4685702
Abstract: We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined by a Cholesky decomposition of the variance process. We define a Hilbert-valued Ornstein-Uhlenbeck process with Wiener noise perturbed by this stochastic volatility, and compute the characteristic functional and covariance operator of this process. This process is then applied to the modelling of forward curves in energy markets. Finally, we compute the dynamics of the tensor Heston volatility model when the generator is bounded, and study its projection down to the real line for comparison with the classical Heston dynamics.
Recommendations
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- An infinite‐dimensional affine stochastic volatility model
- Representation of infinite-dimensional forward price models in commodity markets
- Sensitivity analysis in the infinite dimensional Heston model
- Markovian structure of the Volterra Heston model
Cites work
- scientific article; zbMATH DE number 3518027 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
- A multifactor volatility Heston model
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Derivatives pricing in energy markets: an infinite-dimensional approach
- Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
- Ito's lemma in infinite dimensions
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- One-Parameter Semigroups for Linear Evolution Equations
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- Representation of infinite-dimensional forward price models in commodity markets
- Stochastic Partial Differential Equations with Levy Noise
- Stochastic modeling of electricity and related markets.
- Wishart processes
Cited in
(27)- Infinite-dimensional Wishart processes
- The Alpha‐Heston stochastic volatility model
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
- Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
- Infinite dimensional affine processes
- Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
- Robustness of Hilbert space-valued stochastic volatility models
- On Singularities in the Heston Model
- Markovian structure of the Volterra Heston model
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- The Heston Riemannian distance function
- An infinite‐dimensional affine stochastic volatility model
- Independent increment processes: a multilinearity preserving property
- The Heston model with stochastic elasticity of variance
- A complete Markovian stochastic volatility model in the HJM framework
- On the density of log-spot in the Heston volatility model
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems
- An explicitly solvable Heston model with stochastic interest rate
- A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
- Sensitivity analysis in the infinite dimensional Heston model
- Series Expansions and Direct Inversion for the Heston Model
- Affine pure-jump processes on positive Hilbert-Schmidt operators
This page was built for publication: The Heston stochastic volatility model in Hilbert space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4685702)
