Seminar on Probability and Statistics

Seminar information archive ~04/24Next seminarFuture seminars 04/25~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike


13:00-15:00   Room #156 (Graduate School of Math. Sci. Bldg.)
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 2:Representation results for the Gaussian processes. Financial applications of fractional Brownian motion

[ Abstract ]
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.