Blanka Horvath

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

http://www.imperial.ac.uk/people/b.horvath

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Functional Analytic (Ir-)Regularity Properties of SABR-type Processes

Number of pages: 33 Posted: 10 Jan 2017
Leif Döring, Blanka Horvath and Josef Teichmann
University of Mannheim - School of Mathematics and Computer Science, Imperial College London - Department of Mathematics and ETH Zurich
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Abstract:

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SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms