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Stefan Tappe

Publications and source records attributed to Stefan Tappe.

At least 37 records · Page 2Linked to original sources
arXiv2021

Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients

We provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations in the framework of the semigroup approach with locally monotone coefficients. An important component of the proof is an application of the dilation theorem of Nagy, which allows us to reduce the problem to infinite dimensional stochastic differential equations on a larger Hilbert space. Properties of the solutions like the Markov property are discussed as well.

math.PR↗
arXiv2021

No-arbitrage concepts in topological vector lattices

We provide a general framework for no-arbitrage concepts in topological vector lattices, which covers many of the well-known no-arbitrage concepts as particular cases. The main structural condition we impose is that the outcomes of trading strategies with initial wealth zero and those with positive initial wealth have the structure of a convex cone. As one consequence of our approach, the concepts NUPBR, NAA$_1$ and NA$_1$ may fail to be equivalent in our general setting. Furthermore, we derive abstract versions of the fundamental theorem of asset pricing (FTAP), including an abstract FTAP on Banach function spaces, and investigate when the FTAP is warranted in its classical form with a separating measure. We also consider a financial market with semimartingales which does not need to have a numéraire, and derive results which show the links between the no-arbitrage concepts by only using the theory of topological vector lattices and well-known results from stochastic analysis in a sequence of short proofs.

math.FA↗
arXiv2020

A note on the von Weizsäcker theorem

The von Weizsäcker theorem states that every sequence of nonnegative random variables has a subsequence which is Cesàro convergent to a nonnegative random variable which might be infinite. The goal of this note is to provide a description of the set where the limit is finite. For this purpose, we use a decomposition result due to Brannath and Schachermayer.

math.PR↗
arXiv2020

Existence of equivalent local martingale deflators in semimartingale market models

This paper offers a systematic investigation on the existence of equivalent local martingale deflators, which are multiplicative special semimartingales, in financial markets given by positive semimartingales. In particular, it shows that the existence of such deflators can be characterized by means of the modified semimartingale characteristics. Several examples illustrate our results. Furthermore, we provide interpretations of the deflators from an economic point of view.

q-fin.MF↗
arXiv2020

Infinite dimensional affine processes

The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of Riccati differential equations and an existence proof for such processes, which has been missing in the literature so far. For the existence proof, we will regard affine processes as solutions to infinite dimensional stochastic differential equations with values in Hilbert spaces. This requires a suitable version of the Yamada-Watanabe theorem, which we will provide in this paper. Several examples of infinite dimensional affine processes accompany our results.

math.PR↗
arXiv2020

A simple mathematical model for the evolution of the corona virus

The goal of this note is to present a simple mathematical model with two parameters for the number of deaths due to the corona (COVID-19) virus. The model only requires basic knowledge in differential calculus, and can also be understood by pupils attending secondary school. The model can easily be implemented on a computer, and we will illustrate it on the basis of case studies for different countries.

q-bio.PE↗
arXiv2019

Bilateral Gamma distributions and processes in financial mathematics

We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Lévy processes. We treat exponential Lévy stock models with an underlying bilateral Gamma process as well as term structure models driven by bilateral Gamma processes and apply our results to a set of real financial data (DAX 1996-1998).

math.PR↗
arXiv2019

On the shapes of bilateral Gamma densities

We investigate the four parameter family of bilateral Gamma distributions. The goal of this paper is to provide a thorough treatment of the shapes of their densities, which is of importance for assessing their fitting properties to sets of real data. This includes appropriate representations of the densities, analyzing their smoothness, unimodality and asymptotic behaviour.

math.PR↗
arXiv2019

Option pricing in bilateral Gamma stock models

In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, $p$-optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a numerical example.

q-fin.MF↗
arXiv2019

Stochastic mortality models: An infinite dimensional approach

Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is the introduction of a family of processes called forward mortality improvements which provide a flexible tool for a simple construction of stochastic forward mortality models. In practice, the notion of mortality improvements are a convenient device for the quantification of changes in mortality rates over time that enables, for example, the detection of cohort effects. We show that the forward mortality rates satisfy Heath-Jarrow-Morton-type consistency conditions which translate to the forward mortality improvements. While the consistency conditions of the forward mortality rates are analogous to the classical conditions in the context of bond markets, the conditions of the forward mortality improvements possess a different structure: forward mortality models include a cohort parameter besides the time horizon; these two dimensions are coupled in the dynamics of consistent models of forwards mortality improvements. In order to obtain a unified framework, we transform the systems of Itô-processes which describe the forward mortality rates and improvements: in contrast to term-structure models, the corresponding stochastic partial differential equations (SPDEs) describe the random dynamics of two-dimensional surfaces rather than curves.

math.PR↗
arXiv2019

Exponential stock models driven by tempered stable processes

We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous Lévy processes. With a view of option pricing, we provide a systematic analysis of the existence of equivalent martingale measures, under which the model remains analytically tractable. This includes the existence of Esscher martingale measures and martingale measures having minimal distance to the physical probability measure. Moreover, we provide pricing formulae for European call options and perform a case study.

q-fin.MF↗
arXiv2019

Tempered stable distributions and processes

We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their $p$-variation indices. Exponential stock models driven by tempered stable processes are discussed as well.

math.PR↗
arXiv2019

Isomorphisms for spaces of predictable processes and an extension of the Itô integral

Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable processes. This provides a straightforward extension of the Itô integral in infinite dimensions. We also outline an application to stochastic partial differential equations.

math.PR↗
arXiv2019

Real-world forward rate dynamics with affine realizations

We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the general case. A similar result holds true for models driven by compound Poisson processes with finite jump size distributions. However, in the presence of jumps with infinite activity we obtain severe restrictions on the structure of the market price of risk; typically, it must even be constant.

q-fin.MF↗
arXiv2019

Existence of Lévy term structure models

Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far.

q-fin.MF↗
arXiv2019

A note on stochastic integrals as $L^2$-curves

In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipović and Tappe (2008) we have shown the connection to the usual Itô-integral for càdlàg-integrands. The goal of this note is to complete this result and to provide the full connection to the Itô-integral. We also sketch an application to stochastic partial differential equations.

math.PR↗