Uniqueness for contagious McKean–Vlasov systems in the weak feedback regime
Ledger, Sean, Søjmark, Andreas
Published in The Bulletin of the London Mathematical Society (01.06.2020)
Published in The Bulletin of the London Mathematical Society (01.06.2020)
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Journal Article
Functional central limit theorems for rough volatility
Horvath, Blanka, Jacquier, Antoine, Muguruza, Aitor, Søjmark, Andreas
Published in Finance and stochastics (01.07.2024)
Published in Finance and stochastics (01.07.2024)
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Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Hambly, Ben, Petronilia, Aldaïr, Reisinger, Christoph, Rigger, Stefan, Søjmark, Andreas
Year of Publication 20.07.2023
Year of Publication 20.07.2023
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