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- W2964284080 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 modeling of forward curves in energy and commodity 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." @default.
- W2964284080 created "2019-07-30" @default.
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- W2964284080 date "2018-04-30" @default.
- W2964284080 modified "2023-09-26" @default.
- W2964284080 title "The Heston stochastic volatility model in Hilbert space" @default.
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- W2964284080 doi "https://doi.org/10.1080/07362994.2018.1461566" @default.
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