H
Henrik Hult
Researcher at Royal Institute of Technology
Publications - 68
Citations - 1528
Henrik Hult is an academic researcher from Royal Institute of Technology. The author has contributed to research in topics: Importance sampling & Random walk. The author has an hindex of 17, co-authored 65 publications receiving 1399 citations. Previous affiliations of Henrik Hult include Cornell University & ETH Zurich.
Papers
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Multivariate extremes, aggregation and dependence in elliptical distributions
Henrik Hult,Filip Lindskog +1 more
TL;DR: In this article, it was shown that an elliptically distributed random vector is regularly varying if and only if the bivariate marginal distributions have tail dependence and that the tail dependence coefficients are fully determined by the tail index of the random vector and the linear correlation coefficient.
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A note on Wick products and the fractional Black-Scholes model
Tomas Björk,Henrik Hult +1 more
TL;DR: It is pointed out that the definition of the self-financing trading strategies and/or thedefinition of the value of a portfolio used in the above papers does not have a reasonable economic interpretation, and thus that the results in these papers are not economically meaningful.
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Regular variation for measures on metric spaces
Henrik Hult,Filip Lindskog +1 more
TL;DR: The foundations of regular variation for Borel measures on a com- plete separable space S, that is closed under multiplication by nonnegative real numbers, are reviewed in this article.
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Extremal behavior of regularly varying stochastic processes
Henrik Hult,Filip Lindskog +1 more
TL;DR: In this article, a formulation of regular variation for multivariate stochastic processes on the unit interval with sample paths that are almost surely right-continuous with left limits is presented.
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Functional large deviations for multivariate regularly varying random walks
TL;DR: In this article, the authors extend classical results by A. V. Nagaev on large deviations for sums of i.i.d. regularly varying random variables to partial sum processes and show that only the largest step contributes to the extremal behavior of a multivariate random walk.