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統計数学セミナー
過去の記録 ～09/13｜次回の予定｜今後の予定 09/14～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2018年12月05日(水)
13:00-15:00 数理科学研究科棟(駒場) 156号室
Yuliia Mishura 氏 (The Taras Shevchenko National University of Kiev)
Lecture 2:Representation results for the Gaussian processes. Financial applications of fractional Brownian motion
Yuliia Mishura 氏 (The Taras Shevchenko National University of Kiev)
Lecture 2:Representation results for the Gaussian processes. Financial applications of fractional Brownian motion
[ 講演概要 ]
Arbitrage with fBm: why it appears. How to present any contingent claim via self-financing strategy on the financial market involving fBm. Absence of arbitrage for the mixed models. Fractional -Uhlenbeck and fractional Cox-Ingersoll-Ross processes as the models for stochastic volatility.
Arbitrage with fBm: why it appears. How to present any contingent claim via self-financing strategy on the financial market involving fBm. Absence of arbitrage for the mixed models. Fractional -Uhlenbeck and fractional Cox-Ingersoll-Ross processes as the models for stochastic volatility.
